"Conversion Failed" error in SQL Server

I get this error regularly and have found it's by far the most annoying error in SQL Server.  What does it mean and why can't I do things like the following:

ALTER PROCEDURE [dbo].[procEntitySearch]
      @EntityTypeID int,
      @EntityName nvarchar(50) = NULL,
      @StreetNumber nvarchar(10) = NULL,
      @StreetName nvarchar(40) = NULL,
      @CityZipIndexID int = NULL,
      @StateID int = NULL,
      @ZipCode nvarchar(5) = NULL
AS
      
      DECLARE @SQL nvarchar(1000)

      SET @SQL = 'SELECT E.ID, E.[Name]
      FROM dbo.tblEntityType AS ET
      RIGHT OUTER JOIN dbo.tblEntity AS E
      LEFT OUTER JOIN dbo.tblStates AS ST
      RIGHT OUTER JOIN dbo.tblCounties AS CO
      RIGHT OUTER JOIN dbo.tblCities AS CI
      RIGHT OUTER JOIN dbo.tblCityZipIndex AS CZI
      ON CI.CityFIPS = CZI.CityFIPS
      LEFT OUTER JOIN dbo.tblZipCodes AS ZC
      ON CZI.ZipCode = ZC.ZipCode
      ON CO.CountyFIPS = CI.CountyFIPS
      ON ST.StateFIPS = CO.StateFIPS
      ON E.CityZipIndexID = CZI.ID
      ON ET.ID = E.EntityTypeID
      WHERE ET.ID = ' + @EntityTypeID

      IF NOT @EntityName = NULL
            BEGIN
                  SET @SQL = @SQL + ' AND E.[Name] = ' + char(34) + @EntityName + char(34)
            END

      IF NOT @StreetNumber = NULL
            BEGIN
                  SET @SQL = @SQL + ' AND E.StreetNumber = ' + char(34) + @StreetNumber + char(34)
            END

      IF NOT @StreetName = NULL
            BEGIN
                  SET @SQL = @SQL + ' AND E.StreetName = ' + char(34) + @StreetName + char(34)
            END

      IF NOT @CityZipIndexID = NULL
            BEGIN
                  SET @SQL = @SQL + ' AND CZI.ID = ' + @CityZipIndexID
            END

      IF NOT @StateID = NULL
            BEGIN
                  SET @SQL = @SQL + ' AND ST.ID = ' + @StateID
            END

      IF NOT @ZipCode = NULL
            BEGIN
                  SET @SQL = @SQL + ' AND ZC.ZipCode = ' + char(34) + @ZipCode + char(34)
            END

      EXECUTE (@SQL)


All I ultimately want is string concatenation within a Stored Procedure, but I can't use any variables unless they are of the nvarchar type.  I can't simply convert these variables since they are numeric.  Any suggestions?