docs: add CHANGELOG.md with release notes for round-out features

Author: dlevy-msft-sql

CHANGELOG.md

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+# Changelog
+
+All notable changes to this project will be documented in this file.
+
+## [Unreleased]
+
+### Added
+- `:HELP` command to display available sqlcmd commands
+- `-p` flag for printing performance statistics after each batch
+- `-j` flag for printing raw error messages without formatting
+- `:PERFTRACE` command to redirect timing output to file
+- `:SERVERLIST` command to list available SQL Server instances on the network
+- Multi-line `EXIT(query)` support in interactive mode - queries with unbalanced parentheses now prompt for continuation
+
+### Fixed
+- Statistics format (`-p` flag) now matches ODBC sqlcmd output format
+- Panic on empty args slice in command parser
+
+### Changed
+- **Breaking for go-sqlcmd users**: `-u` (Unicode output) no longer writes a UTF-16LE BOM (Byte Order Mark) to output files. This change aligns go-sqlcmd with ODBC sqlcmd behavior, which never wrote a BOM. If your workflows depended on the BOM being present, you may need to adjust them.
+
+## Notes on ODBC sqlcmd Compatibility
+
+This release significantly improves compatibility with the original ODBC-based sqlcmd:
+
+| Feature | Previous go-sqlcmd | Now | ODBC sqlcmd |
+|---------|-------------------|-----|-------------|
+| `-u` output BOM | Wrote BOM | No BOM | No BOM ✓ |
+| `-p` statistics format | Different format | Matches | Matches ✓ |
+| `-r` without argument | Required argument | Defaults to 0 | Defaults to 0 ✓ |
+| `EXIT(query)` multi-line | Not supported | Supported | Supported ✓ |
+| `:HELP` command | Not available | Available | Available ✓ |
+| `:SERVERLIST` command | Not available | Available | Available ✓ |