The easiest way I’ve found involves two steps:

Adjust SSMS Settings

1. Go to Tools->Options
2. Query Results->SQL Server->Results to Grid
3. Check “Include column headers when copying or saving results”
4. Click OK.
5. Note that the new settings won’t affect any existing Query tabs — you’ll need to open new ones and/or restart SSMS.

Now next time you run a query, do this

1. Make sure the results are displayed in a grid (CTRL+D or Query->Results To->Results to Grid)
2. Right click in the grid, and click Select All
3. Right click in the grid again & click Copy
4. Open up a new Excel spreadsheet, and paste the data in
5. Do a global search & replace, replacing “NULL” with an empty string.

Voila!

I had tried before with SSMS’s export to CSV feature, and it just didn’t escape data the way I needed it to.