I want to use CASE statement to update some records in sql server 2005

UPDATE dbo.TestStudents  
SET LASTNAME = 
( CASE  
WHEN (LASTNAME = 'AAA') THEN 'BBB' 
WHEN (LASTNAME = 'CCC') THEN 'DDD' 
WHEN (LASTNAME = 'EEE') THEN 'FFF' 
ELSE  (LASTNAME)
END )

The statement work for the purpose but the else condition scan through every record in the table. Is there any way I can leave the unaffected rows as they are?

Add a WHERE clause

UPDATE dbo.TestStudents  
SET 	LASTNAME = 	CASE  
						WHEN LASTNAME = 'AAA' THEN 'BBB' 
						WHEN LASTNAME = 'CCC' THEN 'DDD' 
						WHEN LASTNAME = 'EEE' THEN 'FFF' 
						ELSE LASTNAME
					END 
WHERE 	LASTNAME IN ('AAA', 'CCC', 'EEE')

This is also an alternate use of case-when...

UPDATE [dbo].[JobTemplates]
SET [CycleId] = 
    CASE [Id]
        WHEN 1376 THEN 44	--ACE1 FX1
        WHEN 1385 THEN 44	--ACE1 FX2
        WHEN 1574 THEN 43	--ACE1 ELEM1
        WHEN 1576 THEN 43	--ACE1 ELEM2
        WHEN 1581 THEN 41	--ACE1 FS1
        WHEN 1585 THEN 42	--ACE1 HS1
        WHEN 1588 THEN 43	--ACE1 RS1
        WHEN 1589 THEN 44	--ACE1 RM1
        WHEN 1590 THEN 43	--ACE1 ELEM3
        WHEN 1591 THEN 43	--ACE1 ELEM4
        WHEN 1595 THEN 44	--ACE1 SSTn		
        ELSE 0	
     END
WHERE
    [Id] IN (1376,1385,1574,1576,1581,1585,1588,1589,1590,1591,1595)

I like the use of the temporary tables in cases where duplicate values are not permitted and your update may create them. For example:

SELECT
     [Id]
    ,[QueueId]
    ,[BaseDimensionId]
    ,[ElastomerTypeId]
    ,CASE [CycleId]
        WHEN  29 THEN 44
        WHEN  30 THEN 43
        WHEN  31 THEN 43
        WHEN 101 THEN 41
        WHEN 102 THEN 43
        WHEN 116 THEN 42
        WHEN 120 THEN 44
        WHEN 127 THEN 44
        WHEN 129 THEN 44
        ELSE	0
     END				AS [CycleId]
INTO
    ##ACE1_PQPANominals_1
FROM 
    [dbo].[ProductionQueueProcessAutoclaveNominals]
WHERE
    [QueueId] = 3
ORDER BY 
    [BaseDimensionId], [ElastomerTypeId], [Id];
---- (403 row(s) affected)

UPDATE [dbo].[ProductionQueueProcessAutoclaveNominals]
SET 
    [CycleId] = X.[CycleId]
FROM
    [dbo].[ProductionQueueProcessAutoclaveNominals]
INNER JOIN
(
    SELECT  
        MIN([Id]) AS [Id],[QueueId],[BaseDimensionId],[ElastomerTypeId],[CycleId] 
    FROM 
        ##ACE1_PQPANominals_1
    GROUP BY	
        [QueueId],[BaseDimensionId],[ElastomerTypeId],[CycleId] 
) AS X
ON
    [dbo].[ProductionQueueProcessAutoclaveNominals].[Id] = X.[Id];
----(375 row(s) affected)

If you don't want to repeat the list twice (as per @J W's answer), then put the updates in a table variable and use a JOIN in the UPDATE:

declare @ToDo table (FromName varchar(10), ToName varchar(10))
insert into @ToDo(FromName,ToName) values
 ('AAA','BBB'),
 ('CCC','DDD'),
 ('EEE','FFF')

update ts set LastName = ToName
from dbo.TestStudents ts
       inner join
     @ToDo t
       on
         ts.LastName = t.FromName