In SQL Server there are a number of native style formats available, and the closest I have found to SFDC uses ISO8601 format yyyy-mm-ddThh:mm:ss.
CONVERT(varchar,o.CloseDate,126) AS CloseDate_ISO8601Format
Because I use text-based csv files to pass information up to the Salesforce cloud, I don't have to worry too much about data types, so in this case the simplest method for formatting this date is to concatenate the ISO8601 text with an appended 'Z'.
CONVERT(varchar,o.CloseDate,126)+'Z' AS CloseDate_SFDC
See also my earlier blog about conversion options for dates, and this one about date fields.
For more information on date formats and date literals, see the developer documentation.