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I'm told that the thing to watch out for is the use of Not Exists in subqueries, as this will always result in the subquery executing for each row in the parent query. In this situation you're probably better off with an outer join.
Also keep the cache in mind - if subsequent reads come from the cache, you're not seeing the actual query performance. For testing you may want to disable the cache. Just don't ever do that in production.
Arnor reminded the group about the Database Engine Tuning Advisor.
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