I must be using CASE statement wrong, but...how?

I'm getting an error on this code segment: An unexpected token "CASE" was found.  Expected "end".  Yet I thought this is how you code a CASE statement:

DECLARE @loop_var INT

SET @loop_var = 0

WHILE 1=1

BEGIN

    SET @loop_var = @loop_var + 1

    CASE @loop_var

    WHEN 0 THEN

        SELECT "0"

         BREAK

    WHEN 1 THEN

        SELECT "1"

    WHEN 2 THEN

        SELECT "2"

    END CASE

END