Script works but Im not sure this is the best format I have a survey table which contains mostly integer. I want to make it readable for end user so I use select statement as below:

SELECT CASE s.Country WHEN 1 THEN 'One' WHEN 2 THEN 'Two' 
        WHEN 3 THEN 'Three' ELSE 'Your message.' END 
        ,(SELECT CASE DoYouWishToP When 0 Then 'Yes'  When 1 Then 'No' END)
        ,(SELECT CASE Housingoptions When 'rb0' Then 'Lease'  When 'rb1' then 'im lazy' when 'rb2' Then 'Rental' END)
        from tblSurvey s


Above script does work. My question is why the 2nd and 3rd SELECT statments need to be inside the parenthesis. ( ). And do you see any issues in my script?

If I Use below I get Error:

 SELECT CASE s.Country WHEN 1 THEN 'One' WHEN 2 THEN 'Two' 
            WHEN 3 THEN 'Three' ELSE 'Your message.' END 
            ,SELECT CASE DoYouWishToP When 0 Then 'Yes'  When 1 Then 'No' END
(SELECT CASE DoYouWishToP When 0 Then 'Yes, urgently'  When 1 Then 'Not peeing' END) 

is a Sub-select of the main select. It's simply a rule of SQL that it should be surrounded by parenthesis.
Ypercube is also right: if the columns, like "DoYouWishToP", are from the same table, you don't need the second and third SELECT. In that case it will work without the parenthesis. You normally only do a Sub-select using:

, (Select xxx **from** another_table where ...)