If your engine allows ORDER BY x IS NULL, x or ORDER BY x NULLS LAST use that. But if it doesn't these might help:
If you're sorting by a numeric type you can do this: (Borrowing the schema from another answer.)
SELECT *
FROM Employees
ORDER BY ISNULL(DepartmentId*0,1), DepartmentId;

Any non-null number becomes 0, and nulls become 1, which sorts nulls last because 0 < 1.
You can also do this for strings:
SELECT *
FROM Employees
ORDER BY ISNULL(LEFT(LastName,0),'a'), LastName

Any non-null string becomes '', and nulls become 'a', which sorts nulls last because '' < 'a'.
This even works with dates by coercing to a nullable int and using the method for ints above:
SELECT *
FROM Employees
ORDER BY ISNULL(CONVERT(INT, HireDate)*0, 1), HireDate
(Lets pretend the schema has HireDate.)
These methods avoid the issue of having to come up with or manage a "maximum" value of every type or fix queries if the data type (and the maximum) changes (both issues that other ISNULL solutions suffer). Plus they're much shorter than a CASE.