Interestingly, it is faster to create from enumerated data as per this article.
DECLARE @StartDate DATE = '10001201';
DECLARE @EndDate DATE = '20000101';
DECLARE @dim TABLE ([date] DATE)
INSERT @dim([date])
SELECT d
FROM
(
SELECT
d = DATEADD(DAY, rn - 1, @StartDate)
FROM
(
SELECT TOP (DATEDIFF(DAY, @StartDate, @EndDate))
rn = ROW_NUMBER() OVER (ORDER BY s1.[object_id])
FROM
sys.all_objects AS s1
CROSS JOIN
sys.all_objects AS s2
ORDER BY
s1.[object_id]
) AS x
) AS y;
On my machine, it's around 60% faster with large date ranges. The recursion method can populate 2000 years worth of data in around 3 seconds though, and looks a lot nicer, so I don't really recommend this method just for incrementing days.