From the T-SQL perspective IMHO, the MERGE statement, table value constructors (TVC) and grouping sets are probably what I'd consider the most interesting. Add to that maybe User-defined table types (for passing tables into SPs and FUNCTIONs) and spatial data if that's what floats your boat.
Using TVC there is a cool new way to UNPIVOT: http://www.sqlservercentral.com/articles/CROSS+APPLY+VALUES+UNPIVOT/91234/
[/shameless-plug]
My thought question: Have you ever been told that your query runs too fast?
My advice:
INDEXing a poor-performing query is like putting sugar on cat food. Yeah, it probably tastes better but are you sure you want to eat it?
The path of least resistance can be a slippery slope. Take care that fixing your fixes of fixes doesn't snowball and end up costing you more than fixing the root cause would have in the first place.
Need to UNPIVOT? Why not CROSS APPLY VALUES instead?[/url]
Since random numbers are too important to be left to chance, let's generate some![/url]
Learn to understand recursive CTEs by example.[/url]
[url url=http://www.sqlservercentral.com/articles/St