FOR XML PATH y concatenación de cadenas

Creo que tu intento original está casi allí. Hago este tipo de cosas todo el tiempo usando el mismo enfoque FOR XML. La solución a continuación resuelve su ejemplo exacto y se puede adaptar fácilmente para otros fines:

DECLARE @delimiter NVARCHAR(10)
SET @delimiter = ', '

declare @values TABLE (
    [value] NVARCHAR(25)
)

declare @otherValues TABLE (
    [otherValue] NVARCHAR(25)
)

INSERT INTO @values VALUES ('Value1')
INSERT INTO @values VALUES ('Value2')
INSERT INTO @values VALUES ('Value3')

INSERT INTO @otherValues VALUES ('OtherValue1')
INSERT INTO @otherValues VALUES ('OtherValue2')
INSERT INTO @otherValues VALUES ('OtherValue3')

SELECT
    STUFF(
        (
            SELECT
                @delimiter + CAST([value] AS NVARCHAR(500)) + '' AS [text()]
            FROM
                @values
            FOR   
                XML PATH('')
        ),
        1,
        LEN(REVERSE(@delimiter)), -- Reverse the delimiter string in case it has trailing spaces; LEN() won't count those
        ''
    ) +
    ' text in between my values ' +
    STUFF(
        (
            SELECT
                @delimiter + CAST([otherValue] AS NVARCHAR(500)) + '' AS [text()]
            FROM
                @otherValues
            FOR   
                XML PATH('')
        ),
        1,
        LEN(REVERSE(@delimiter)), -- Reverse the delimiter string in case it has trailing spaces; LEN() won't count those
        ''
    )