sqlcmd and Complex Passwords

Randolph West hits one of my bugbears with respect to the Windows command shell:

Using accepted good practice, the password and script were escaped with double quotes. (note that instance, password and database are the replacement values in question):

sqlcmd -S instance -U maintenanceUser -P "password" -Q "dbcc checkdb ('database') with DATA_PURITY, NO_INFOMSGS;"

Unfortunately, one of the passwords started with a double quotation mark which led to the command failing for one specific Express Edition instance.

Read on to see the mess as well as a way to extricate yourself from the mess.