In my recent case, OPENQUERY is better because when reading from MySQL, it puts the processing on the MySQL server before bringing over the data. So, for instance, ORDER BY is taken care of at MySQL, then data imported.

I was getting strange "MySQL out of memory" errors, when in fact it seems MSSQL was having the problem.

So OPENQUERY was the solution in my particular case.

http://www.sqlservercentral.com/Forums/Topic1655550-1550-1.aspx?Update=1