This is probably one of the simplest tips that I've published, yet I'm endlessly surprised how many people do not realize that it's available.
When you have a script loaded in SQL Server Management Studio (SSMS), and you execute the script, you might run into an error like this:
To find where the error is, just double-click the error down in the Messages tab. I double-clicked it, and it took me directly to the error and highlighted it: