I see that it is possible in SQL Server to do a SQL select with a column name containing spaces.

Michel, while T-SQL allows you to include spaces in alias names, the practice should be discouraged.

Several tools/applications that consume result sets have difficulty with spaces - and a few will actually convert the space to an underscore (creating a potential conflict in name mapping).

Unless there is a requirement for doing so, and/or you're working in a tightly-controlled environment, I'd recommend against using spaces.