Two column data in one column SQL Server

I am using Microsoft SQL Server 2000.

I am using JDBC in a java bean to connect to the database and I am using SQL to get data [SELECT] from a particular table.

With SQL I am trying to combine column A and column B into a single column, say column Z to sort [ORDER BY] by column Z.
The trick is that if column B is null or empty I want to display column A's data
otherwise, I want to display column B's data

Does any one know how to combine two columns into one using SQL?

This is the only thing that comes to mind

SELECT ColumnA AS ColumnZ
FROM Table
UNION
SELECT ColumnB AS ColumnZ
FROM Table
ORDER BY ColumnZ

Any hints, ideas, or suggestions are welcome!