Found the answer to my own question on "Jeff's sql server blog":

SELECT MIN(TableName) as TableName, ID, COL1, COL2, COL3 ...
FROM
(
SELECT 'Table A' as TableName, A.ID, A.COL1, A.COL2, A.COL3, ...
FROM A
UNION ALL
SELECT 'Table B' as TableName, B.ID, B.COL1, B.COl2, B.COL3, ...
FROM B
) tmp
GROUP BY ID, COL1, COL2, COL3 ...
HAVING COUNT(*) = 1
ORDER BY ID

The inner "tmp" query needs to be handled as its own query.