try this :

UPDATE
    Table_A
SET
    Table_A.AccountNumber = Table_B.AccountNumber ,
FROM
    dbo.Sales_Import AS Table_A
    INNER JOIN dbo.RetrieveAccountNumber AS Table_B
        ON Table_A.LeadID = Table_B.LeadID 
WHERE
    Table_A.LeadID = Table_B.LeadID

For MySql that works fine:

UPDATE
    Sales_Import SI,RetrieveAccountNumber RAN
SET
    SI.AccountNumber = RAN.AccountNumber
WHERE
    SI.LeadID = RAN.LeadID

For SQL Server 2008 + Using MERGE rather than the proprietary UPDATE ... FROM syntax has some appeal.

As well as being standard SQL and thus more portable it also will raise an error in the event of there being multiple joined rows on the source side (and thus multiple possible different values to use in the update) rather than having the final result be undeterministic.

MERGE INTO Sales_Import
   USING RetrieveAccountNumber
      ON Sales_Import.LeadID = RetrieveAccountNumber.LeadID
WHEN MATCHED THEN
   UPDATE 
      SET AccountNumber = RetrieveAccountNumber.AccountNumber;

Unfortunately the choice of which to use may not come down purely to preferred style however. The implementation of MERGE in SQL Server has been afflicted with various bugs. Aaron Bertrand has compiled a list of the reported ones here.

Generic answer for future developers.

SQL Server

UPDATE 
     t1
SET 
     t1.column = t2.column
FROM 
     Table1 t1 
     INNER JOIN Table2 t2 
     ON t1.id = t2.id;

Oracle (and SQL Server)

UPDATE 
     t1
SET 
     t1.colmun = t2.column 
FROM 
     Table1 t1, 
     Table2 t2 
WHERE 
     t1.ID = t2.ID;

MySQL

UPDATE 
     Table1 t1, 
     Table2 t2
SET 
     t1.column = t2.column 
WHERE
     t1.ID = t2.ID;

I believe an UPDATE FROM with a JOIN will help:

MS SQL

UPDATE
    Sales_Import
SET
    Sales_Import.AccountNumber = RAN.AccountNumber
FROM
    Sales_Import SI
INNER JOIN
    RetrieveAccountNumber RAN
ON 
    SI.LeadID = RAN.LeadID;

MySQL and MariaDB

UPDATE
    Sales_Import SI,
    RetrieveAccountNumber RAN
SET
    SI.AccountNumber = RAN.AccountNumber
WHERE
    SI.LeadID = RAN.LeadID;

I had the same problem with foo.new being set to null for rows of foo that had no matching key in bar. I did something like this in Oracle:

update foo
set    foo.new = (select bar.new
                  from bar 
                  where foo.key = bar.key)
where exists (select 1
              from bar
              where foo.key = bar.key)

I'd like to add one extra thing.

Don't update a value with the same value, it generates extra logging and unnecessary overhead. See example below - it will only perform the update on 2 records despite linking on 3.

DROP TABLE #TMP1
DROP TABLE #TMP2
CREATE TABLE #TMP1(LeadID Int,AccountNumber NVarchar(50))
CREATE TABLE #TMP2(LeadID Int,AccountNumber NVarchar(50))

INSERT INTO #TMP1 VALUES
(147,'5807811235')
,(150,'5807811326')
,(185,'7006100100007267039');

INSERT INTO #TMP2 VALUES
(147,'7006100100007266957')
,(150,'7006100100007267039')
,(185,'7006100100007267039');

UPDATE A
SET A.AccountNumber = B.AccountNumber
FROM
    #TMP1 A 
        INNER JOIN #TMP2 B
        ON
        A.LeadID = B.LeadID
WHERE
    A.AccountNumber <> B.AccountNumber  --DON'T OVERWRITE A VALUE WITH THE SAME VALUE

SELECT * FROM #TMP1

If above answers not working for you try this

Update Sales_Import A left join RetrieveAccountNumber B on A.LeadID = B.LeadID
Set A.AccountNumber = B.AccountNumber
where A.LeadID = B.LeadID 

Thanks for the responses. I found a solution tho.

UPDATE Sales_Import 
SET    AccountNumber = (SELECT RetrieveAccountNumber.AccountNumber 
                          FROM   RetrieveAccountNumber 
                          WHERE  Sales_Import.leadid =RetrieveAccountNumber.LeadID) 
WHERE Sales_Import.leadid = (SELECT  RetrieveAccountNumber.LeadID 
                             FROM   RetrieveAccountNumber 
                             WHERE  Sales_Import.leadid = RetrieveAccountNumber.LeadID)  

The below SQL someone suggested, does NOT work in SQL Server. This syntax reminds me of my old school class:

UPDATE table2 
SET table2.col1 = table1.col1, 
table2.col2 = table1.col2,
...
FROM table1, table2 
WHERE table1.memberid = table2.memberid

All other queries using NOT IN or NOT EXISTS are not recommended. NULLs show up because OP compares entire dataset with smaller subset, then of course there will be matching problem. This must be fixed by writing proper SQL with correct JOIN instead of dodging problem by using NOT IN. You might run into other problems by using NOT IN or NOT EXISTS in this case.

My vote for the top one, which is conventional way of updating a table based on another table by joining in SQL Server. Like I said, you cannot use two tables in same UPDATE statement in SQL Server unless you join them first.

This will allow you to update a table based on the column value not being found in another table.

    UPDATE table1 SET table1.column = 'some_new_val' WHERE table1.id IN (
            SELECT * 
            FROM (
                    SELECT table1.id
                    FROM  table1 
                    LEFT JOIN table2 ON ( table2.column = table1.column ) 
                    WHERE table1.column = 'some_expected_val'
                    AND table12.column IS NULL
            ) AS Xalias
    )

This will update a table based on the column value being found in both tables.

    UPDATE table1 SET table1.column = 'some_new_val' WHERE table1.id IN (
            SELECT * 
            FROM (
                    SELECT table1.id
                    FROM  table1 
                    JOIN table2 ON ( table2.column = table1.column ) 
                    WHERE table1.column = 'some_expected_val'
            ) AS Xalias
    )

Use the following block of query to update Table1 with Table2 based on ID:

UPDATE Sales_Import, RetrieveAccountNumber 
SET Sales_Import.AccountNumber = RetrieveAccountNumber.AccountNumber 
where Sales_Import.LeadID = RetrieveAccountNumber.LeadID;

This is the easiest way to tackle this problem.

update within the same table:

  DECLARE @TB1 TABLE
    (
        No Int
        ,Name NVarchar(50)
        ,linkNo int
    )

    DECLARE @TB2 TABLE
    (
        No Int
        ,Name NVarchar(50)
        ,linkNo int
    )

    INSERT INTO @TB1 VALUES(1,'changed person data',  0);
    INSERT INTO @TB1 VALUES(2,'old linked data of person', 1);

INSERT INTO @TB2 SELECT * FROM @TB1 WHERE linkNo = 0


SELECT * FROM @TB1
SELECT * FROM @TB2


    UPDATE @TB1 
        SET Name = T2.Name
    FROM        @TB1 T1
    INNER JOIN  @TB2 T2 ON T2.No = T1.linkNo

    SELECT * FROM @TB1