Think of the null as "unknown" in that case (or "does not exist"). In either of those cases, you can't say that they are equal, because you don't know the value of either of them. So, null=null evaluates to not true (false or null, depending on your system), because you don't know the values to say that they ARE equal. This behavior is defined in the ANSI SQL-92 standard.
EDIT:
This depends on your ansi_nulls setting. if you have ANSI_NULLS off, this WILL evaluate to true. Run the following code for an example...
set ansi_nulls off
if null = null
print 'true'
else
print 'false'
set ansi_nulls ON
if null = null
print 'true'
else
print 'false'
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