The client sends the server a pre-login packet: Secondly the client then sets up a TDS connection which involves (deep breath):
The latency further afield over a WAN or the Internet is, slow very slow. if is it noticeable on a LAN, then there is something seriously wrong. Even when you are sending a few packets backwards and forwards, the cost of the network transport is generally hidden.
The latency on a LAN is small so small, in fact, that ping on Windows does not even bother telling you how much time it took to send a packet and get a response back, because it is typically less than a millisecond.
To explain more about these problems, and how to avoid them with connection pooling, it is important to understand what is involved in using TDS over the internet. Connections can be slow to create, they can be insecure, and they can break. Good old TDS is still used to connect to Sql Azure over the internet, but TDS is now in a very different world to the one it was designed for. For example, they can now get databases up and running in Azure and have requests either coming from inside Azure, another cloud provider or on the customer’s site. The Cloud, and Azure in particular, has opened up a wide range of possibilities for application developers because it is now so easy to have SQL Server on the internet. Improving the Quality of SQL Server Database Connections in the Cloud - Simple Talk