When using SQL Command to create a dataset for your report, you can enter same function straight to your command than you would enter using SQL Expression. SQL Expression can be used when Crystal Reports itself has created SQL query.

When to use tables directly, sql query or stored procedures depends on your needs, used database engine and structure of your database. There isn't any general answer to that.

Usually fastest way to connect to database is using direct (native) drivers. ODBC connection is "translated" and is thus slower than native connection.