For anybody stumbling onto this question like I did and might find this useful, I liked Bruce Thompson's answer (which ran SQL from files in a loop), but I preferred Pesche Helfer's approach to file execution (as it avoided using xp_cmdshell).
So I combined the two (and tweaked it slightly so it runs everything from a folder instead of a manually created list):
DECLARE @Dir NVARCHAR(512) = 'd:\SQLScriptsDirectory'
DECLARE @FileList TABLE (
subdirectory NVARCHAR(512),
depth int,
[file] bit
)
INSERT @FileList
EXEC Master.dbo.xp_DirTree @Dir,1,1
WHILE (SELECT COUNT(*) FROM @FileList) > 0
BEGIN
DECLARE @FileName NVARCHAR(MAX) = (SELECT TOP(1) subdirectory FROM @FileList)
DECLARE @FullPath NVARCHAR(MAX) = @Dir + '\' + @FileName
DECLARE @SQL NVARCHAR(MAX)
DECLARE @SQL_TO_EXEC NVARCHAR(MAX)
SELECT @SQL_TO_EXEC = 'select @SQL = BulkColumn
FROM OPENROWSET
( BULK ''' + @FullPath + '''
, SINGLE_BLOB ) AS MYTABLE'
DECLARE @parmsdeclare NVARCHAR(4000) = '@SQL varchar(max) OUTPUT'
EXEC sp_executesql @stmt = @SQL_TO_EXEC
, @params = @parmsdeclare
, @SQL = @SQL OUTPUT
EXEC (@sql)
DELETE FROM @FileList WHERE subdirectory = @FileName
PRINT 'EXECUTED: ' + @FileName
END