I saw this as a question submitted at SQL Server Central, and wasn’t sure it was correct, but when I checked, I was surprised. If you choose to designate columns as sparse, but you have a lot of data, you can use more space.
This post looks at how things are stored and the impact if much of your data isn’t null.
I consider sparse columns a relic of the mid-aughts era, when storage was a lot more expensive and compression was an Enterprise Edition-only feature. Given that you can use page compression in any edition of SQL Server nowadays, I don’t think there’s a viable reason ever to have a sparse column.
Also, definitely check out the comments, where Jeff Moden has a great one.