SQL WHERE.. IN clause multiple columns

You'll want to use the WHERE EXISTS syntax instead.

SELECT *
FROM table1
WHERE EXISTS (SELECT *
              FROM table2
              WHERE Lead_Key = @Lead_Key
                        AND table1.CM_PLAN_ID = table2.CM_PLAN_ID
                        AND table1.Individual_ID = table2.Individual_ID)

You can make a derived table from the subquery, and join table1 to this derived table:

select * from table1 LEFT JOIN 
(
   Select CM_PLAN_ID, Individual_ID
   From CRM_VCM_CURRENT_LEAD_STATUS
   Where Lead_Key = :_Lead_Key
) table2
ON 
   table1.CM_PLAN_ID=table2.CM_PLAN_ID
   AND table1.Individual=table2.Individual
WHERE table2.CM_PLAN_ID IS NOT NULL

WARNING ABOUT SOLUTIONS:

MANY EXISTING SOLUTIONS WILL GIVE THE WRONG OUTPUT IF ROWS ARE NOT UNIQUE

If you are the only person creating tables, this may not be relevant, but several solutions will give a different number of output rows from the code in question, when one of the tables may not contain unique rows.

WARNING ABOUT PROBLEM STATEMENT:

IN WITH MULTIPLE COLUMNS DOES NOT EXIST, THINK CAREFULLY WHAT YOU WANT

When I see an in with two columns, I can imagine it to mean two things:

1. The value of column a and column b appear in the other table independently
2. The values of column a and column b appear in the other table together on the same row

Scenario 1 is fairly trivial, simply use two IN statements.

In line with most existing answers, I hereby provide an overview of mentioned and additional approaches for Scenario 2 (and a brief judgement):

EXISTS (Safe, recommended for SQL Server)

As provided by @mrdenny, EXISTS sounds exactly as what you are looking for, here is his example:

SELECT * FROM T1
WHERE EXISTS
(SELECT * FROM T2 
 WHERE T1.a=T2.a and T1.b=T2.b)

LEFT SEMI JOIN (Safe, recommended for dialects that support it)

This is a very concise way to join, but unfortunately most SQL dialects, including SQL server do not currently suppport it.

SELECT * FROM T1
LEFT SEMI JOIN T2 ON T1.a=T2.a and T1.b=T2.b

Multiple IN statements (Safe, but beware of code duplication)

As mentioned by @cataclysm using two IN statements can do the trick as well, perhaps it will even outperform the other solutions. However, what you should be very carefull with is code duplication. If you ever want to select from a different table, or change the where statement, it is an increased risk that you create inconsistencies in your logic.

Basic solution

SELECT * from T1
WHERE a IN (SELECT a FROM T2 WHERE something)
AND b IN (SELECT b FROM T2 WHERE something)

Solution without code duplication (I believe this does not work in regular SQL Server queries)

WITH mytmp AS (SELECT a, b FROM T2 WHERE something);
SELECT * from T1 
WHERE a IN (SELECT a FROM mytmp)
AND b IN (SELECT b FROM mytmp)

INNER JOIN (technically it can be made safe, but often this is not done)

The reason why I don't recommend using an inner join as a filter, is because in practice people often let duplicates in the right table cause duplicates in the left table. And then to make matters worse, they sometimes make the end result distinct whilst the left table may actually not need to be unique (or not unique in the columns you select). Futhermore it gives you the chance to actually select a column that does not exists in the left table.

SELECT T1.* FROM T1
INNER JOIN 
(SELECT DISTINCT a, b FROM T2) AS T2sub
ON T1.a=T2sub.a AND T1.b=T2sub.b

Most common mistakes:

1. Joining directly on T2, without a safe subquery. Resulting in the risk of duplication)
2. SELECT * (Guaranateed to get columns from T2)
3. SELECT c (Does not guarantee that your column comes and always will come from T1)
4. No DISTINCT or DISTINCT in the wrong place

CONCATENATION OF COLUMNS WITH SEPARATOR (Not very safe, horrible performance)

The functional problem is that if you use a separator which might occur in a column, it gets tricky to ensure that the outcome is 100% accurate. The technical problem is that this method often incurs type conversions and completely ignores indexes, resulting in possibly horrible performance. Despite these problems, I have to admit that I sometimes still use it for ad-hoc queries on small datasets.

SELECT * FROM T1
WHERE CONCAT(a,"_",b) IN 
(SELECT CONCAT(a,"_",b) FROM T2)

Note that if your columns are numeric, some SQL dialects will require you to cast them to strings first. I believe SQL server will do this automatically.

To wrap things up: As usual there are many ways to do this in SQL, using safe choices will avoid suprises and save you time and headaces in the long run.

A simple EXISTS clause is cleanest

select *
from table1 t1
WHERE
EXISTS
(
 Select * --or 1. No difference...
 From CRM_VCM_CURRENT_LEAD_STATUS Ex
 Where Lead_Key = :_Lead_Key
-- correlation here...
AND
t1.CM_PLAN_ID = Ex.CM_PLAN_ID AND t1.CM_PLAN_ID =  Ex.Individual_ID
)

If you have multiple rows in the correlation then a JOIN gives multiple rows in the output, so you'd need distinct. Which usually makes the EXISTS more efficient.

Note SELECT * with a JOIN would also include columns from the row limiting tables