If a query is performing poorly, and you can't understand why, then that query's execution plan will tell you not only what data set is coming back, but also what SQL Server did, and in what order, to get that data. It will reveal how the data was retrieved, and from which tables and indexes, what types of joins were used, at what point filtering, sorting and aggregation occurred, and a whole lot more. These details will often highlight the likely source of any problem.
I wrote this book with the singular goal of teaching you how to read SQL Server Execution plans
It will explain, among many other things, the following: