I am using SQL Server 2008 Enterprise. And I am using Linked Server technologies to link another SQL Server 2008 Enterprise instance from another server. I write TSQL to manipul
You're going to take a bit of a hit to transfer the results across the wire twice (linked server to SQL Server to your machine). Secondly, it's got to resolve the name and log in, which isn't much of a hit, but it's a hit nonetheless.
Anyway, I've found the only major bottleneck is jumping servers, since it has to transmit the information twice.