seleting all dates between two dates

I am interested in a query where I can select all dates between two dates. I
figure I can build a table of all valid dates with a resonable range and
then select from that table, but I would like to use the power of sql to get
the work done without building a date table. Any ideas?

For example:
I want all dates between 05-29-2001 and 06-02-2001
The result set would be:
05-30-2001
05-31-2001
06-01-2001

Thanks for the help.
-Jeff