Joins are one of the four table operators in MS SQL Server (the others are APPLY, PIVOT and UNPIVOT). Joins are used for joining tables (real or derived).
INTERSECT, EXCEPT, UNION and UNION ALL are set operators and are used to do something to two or more sets of data.
Two important things to understand are:
1. Table operators are processed before set operators
2. With the exception of UNION ALL, set operators remove duplicates.
This second point is very important because if you work with me and do this:
SELECT DISTINCT col1 FROM table1
(UNION | EXCEPT | INTERSECT)
SELECT DISTINCT col1 FROM table2
I get upset and shoot you with a pork chop gun.
-- Itzik Ben-Gan 2001