h=sqlstringconnect("your connect string here")
?sqlexec(h, "-- is this a proper comment?", "none")

You get a nice "SQL parameter is missing." error for this.

Why? Because there's a question mark in the SQL command being sent, and VFP parses it, looking for parameters. Well, the parser isn't too smart - if it was, it would be writing SQL for us, right? - so it finds a question mark followed by nothing that would serve as a variable name, a-ha! Error.

Just in case someone else bangs into this particular corner of the wall, may they escape without this ugly bump on the forehead.