Joe Celko's SQL for Smarties, 3rd Edition

33.6. Avoid UNIONs

A UNION is often implemented by constructing the two result sets, then merge-sorting them together. The optimizer works only within a single SELECT statement or subquery. For example:

SELECT *
  FROM Personnel
 WHERE work = 'New York'
UNION
SELECT *
  FROM Personnel
 WHERE home = 'Chicago';

is the same as:

SELECT DISTINCT *
  FROM Personnel
 WHERE work = 'New York'
    OR home = 'Chicago';

The second will run faster.

Another trick is to use UNION ALL in place of UNION whenever duplicates are not a problem. The UNION ALL is implemented as an append operation, without the need for a sort to aid duplicate removal.