How a SQL query performs is depend on a lot of factors - the volume of the data it returns not one of them (it affects the network traffic)...
1. Joins in the query
2. Indexes on involved tables
3. Type of available indexes (clustered, non-clustered)
4. Choose sub-query over join and vica versa...
5. The actual build-up of the tables involved (data-page size, index-page size...)
This wisdom can not be taught in a sort answer like here, but you can research the subject:
http://technet.microsoft.com/en-us/library/ms190610(v=SQL.105).aspx[
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http://msdn.microsoft.com/en-us/library/ff647793.aspx[
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