You can use City IN(2,3,5)
instead of (City = 2) OR (City = 3) OR (City = 5)
:
Protected Sub Button1_Click(sender As Object, e As EventArgs) Handles Button1.Click
Dim condition As String = ""
For i As Integer = 0 To CheckBoxList1.Items.Count - 1
If CheckBoxList1.Items(i).Selected Then
condition = condition & "," & (i + 1)
End If
Next
SQL = "SELECT * FROM Data1 WHERE (" & condition.SubString(1) & ") ORDER BY [ID]"
Session("Search") = SQL
Server.Transfer("Data_Form.aspx")
End Sub