I'd be curious to know which ports and protocols have to be open in the firewall to allow SQL Server to use web services.

As far as I can tell TCP deals with corruption of the package being sent where as UDP is fire and forget.

You transmit on a port relevant to your service but have to open up ephemeral ports to get an appropriate response. Doesn't this mean that as well as having to open up TCP1433 we have to open up the full ephemeral range 1024 to 65535?

Mechanically I can see that making web service calls direct from SQLServer would be convenient and possibly the most efficient mechanical path. Security wise I'm not so sure