Userei un'espressione di tabella comune per includere un numero di riga sequenziale basato su date_loaded, quindi lo userei in un self-join, come segue:
CREATE TABLE #temp (
value INT,
date_loaded DATETIME
)
INSERT INTO #temp VALUES (1,'2012-03-7')
INSERT INTO #temp VALUES (1,'2012-03-6')
INSERT INTO #temp VALUES (1,'2012-03-5')
INSERT INTO #temp VALUES (3,'2012-03-4')
INSERT INTO #temp VALUES (4,'2012-03-3')
INSERT INTO #temp VALUES (1,'2012-03-2')
;WITH cte AS (SELECT ROW_NUMBER() OVER (ORDER BY date_loaded) AS n, value, date_loaded FROM #temp)
SELECT t2.value, t2.date_loaded
FROM cte t2 LEFT JOIN cte t1 ON t2.n = t1.n + 1
WHERE t2.value <> ISNULL(t1.value, -1)
DROP TABLE #temp
