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UNION vs. UNION ALL in SQL Server

Sometimes there is a need to combine data from multiple tables or views into one comprehensive dataset. This may be for like tables within the same database or maybe there is a need to combine like data across databases or even across servers. I have read about the UNION and UNION ALL commands, but how do these work and how do they differ?

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Question of the Day

Historical Data Tracking

If I want to track historical data values, which mechanism should I use?

See possible answers