What happens when we run into the problem where the query executes quickly in SSMS, but runs slow in the application? Check out the solution in the video TSQL: Fast In SSMS, Slow In the Application Part III. As you can see, we learn how to solve this problem by actually making it do the same thing and generating the problem in a test application.
Some examples we see in the video:
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As a general rule, I would have at least one procedure to test this like we see in the video or one simulated example to test this (more is better up to a point; we don't want to waste time endlessly testing). While it may not be obvious, default settings may impact some queries in ways we don't expect. This doesn't mean that we should automatically change those, but that we should be aware of them and how they may affect our queries.
One regular point I like to remind my audience, especially as of recent: we can often solve the same problem with a variety of techniques. While we look at one or two ways to solve the problem, these aren't the only ways we can approach this problem. The most appropriate solution to a problem is one in which you can troubleshoot quickly in the future and one in which you understand. Be careful about applying solutions that solve a problem, but introduce new problems in the future.
A great re-occuring example of this is my discussion on alerting best practices. There are a variety of alerts everywhere for everything in today's development environments, but many of these alerts cause more issues than they solve (one of which is creating a distraction). Be careful about "easy" solutions which introduce bigger problems. Know your environment and where to apply the best solution. Of course, all these being written, it is helpful to learn new techniques to solve problems because they may be useful in the future.
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