Another potential way to do this for SQL Server, which has less reliance on the system tables (which are subject to change, version to version) is to use the INFORMATION_SCHEMA views:

select COLUMN_NAME, TABLE_NAME
from INFORMATION_SCHEMA.COLUMNS
where COLUMNPROPERTY(object_id(TABLE_SCHEMA+'.'+TABLE_NAME), COLUMN_NAME, 'IsIdentity') = 1
order by TABLE_NAME