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1. Use the Database Engine Tuning Advisor. An important performance optimization tool for SQL performance tuning is the Database Engine Tuning Advisor. This tool allows admins to evaluate single Transact-SQL statements or a batch of statements to determine where improvements can be made.
In a nutshell, SQL performance tuning consists of making queries of a relation database run as fast as possible. As you'll see in this post, SQL performance tuning is not a single tool or technique. Rather, it's a set of practices that makes uses of a wide array of techniques, tools, and processes.
Oracle's very own Tom Kyte has a fantastic repository on every type of performance problem imaginable on http://asktom.oracle.com. He usually takes the time to recreate specific problems and gives very detailed explanations.
This guy's answer to a not-the-same-inquiry is probably a good start.
Hidden Features of MySQL
And something for PostgreSQL: "Performance Optimization" at the official wiki.
If you are using an Oracle database, this guide may also help. http://download.oracle.com/docs/cd/B28359_01/server.111/b28274/toc.htm
For MySQL, the performance tuning 'bible' is High Performance MySQL
Quick PostgreSQL Optimization (query optimizing)
Short read, explains a lot of things well and 'works' a real example which is nice for those of us that learn better that way.
After seeing the wiki link to PostgreSQL, figured I'd edit this post with links for mysql/oracle docs, not really an optimization guides specifically but both are good resources, especially the mysql one. For optimization and any other tuning features.
SO has a good one here: How do you interpret a query’s explain plan?
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