Hmm, it sounds like: "Never use Scalar UDF, unless you're doing iterative string manipulation".

In which case, I recommend the CLR :o)

Also, thanks very much for the information regarding "SET STATISTICS ON"! That was extremely illuminating. Does the "Include Client Statistics" feature have an implicit STATISTICS TIME ON?

It's prompted me to have a deeper look into what this button actually does, and similarly the "Show Actual Execution Plan" button.

A bit of a tangent, but I remember a number of queries for which response times exploded when trying to view the Execution Plan.