Microsoft SQL Server is a relational database management system that supports applications on a single machine, on a local area network, or across the web. SQL Server supports Microsoft's .NET framework out of the box, and integrates nicely into the Microsoft ecosystem.

Azure Synapse (formerly Azure SQL Data Warehouse) is a cloud-based petabyte-scale columnar database service with controls to manage compute and storage resources independently. It offers encryption of data at rest and dynamic data masking to mask sensitive data on the fly, and it integrates with Azure Active Directory. It can replicate to read-only databases in different geographic regions for load balancing and fault tolerance.

The most common way most folks who work with databases get their data is by using queries for extraction. With SELECT statements you can filter, sort, and limit the data you want to retrieve. If you need to export data in bulk, you can use Microsoft SQL Server Management Studio, which enables you to export entire tables and databases in formats like text, CSV, or SQL queries that can restore the database if run.

Azure Synapse provides a multi-step process for loading data. After extracting the data from its source, you can move it to Azure Blob storage or Azure Data Lake Store. You can then use one of three utilities to load the data:

• AZCopy uses the public internet.
• Azure ExpressRoute routes the data through a dedicated private connection to Azure, bypassing the public internet by using a VPN or point-to-point Ethernet network.
• The Azure Data Factory (ADF) cloud service has a gateway that you can install on your local server, then use to create a pipeline to move data to Azure Storage.

From Azure Storage you can load the data into Azure Synapse staging tables by using Microsoft's PolyBase technology. You can run any transformations you need while the data is in staging, then insert it into production tables. Microsoft offers documentation for the whole process.

All set! You've written a script to move data from SQL Server into your data warehouse. But data freshness is one of the most important aspects of any analysis – what happens when you have new data that you need to add?

You could load the entire SQL Server database again. Doing this is almost guaranteed to be slow and painful, and cause all kinds of latency.

A better approach is to build your script to recognize new and updated records in the source database. Using an auto-incrementing field as a key is a great way to accomplish this. The key functions something like a bookmark, so your script can resume where it left off. When you've built in this functionality, you can set up your script as a cron job or continuous loop to get new data as it appears in SQL Server.

Azure Synapse is great, but sometimes you need to optimize for different things when you're choosing a data warehouse. Some folks choose to go with Amazon Redshift, Google BigQuery, PostgreSQL, Snowflake, or Panoply, which are RDBMSes that use similar SQL syntax. Others choose a data lake, like Amazon S3 or Delta Lake on Databricks. If you're interested in seeing the relevant steps for loading data into one of these platforms, check out To Redshift, To BigQuery, To Postgres, To Snowflake, To Panoply, To S3, and To Delta Lake.