>It all depends on his requirements. BTW, I had an SQL Server interview question regarding difference between UNION and UNION ALL.
>
>The further question on this was what is usually faster (first or second) and is there a situation when UNION ALL will be slower than UNION?

In my observations (not proper tests) UNION ALL is fasted that just UNION. Just because UNION is something like:

SELECT Fld1, Fld2 FROM Table1;
UNION ALL;
SELECT Fld1, Fld2 FROM Table2;
LEFT JOIN (SELECT Fld1, Fld2 FROM Table1) Tbl1;
     ON Table2.Fld1 = Tbl1.Fld1;
        Table2.Fld2 = Tbl1.Fld2;
WHERE Tbl1.Fld1 IS NULL

This is of course very rough example. But when you use UNION instead of UNION ALL you HAVE to filtert and that filter takes time :-).

About when UNION ALL is slower than UNION kill me I don't know. My first answer is "NEVER" but I suspect that if there is such a question maybe there are occasions when that statements is true. Maybe for huge tables and proper indexes the filtering could be faster than just APPEND, but as I said I am not sure at all.