You can use VB.NET or C# to write procedural code and create user-defined types and aggregates in SQL Server.

Well, optimization of SQL in general and VB/SQL (ADO.NET) apps in particular is a huge topic. There is quite a bit on MSDN if you search for it, including some information aimed directly at VB/C# ...

NetCOBOL for .NET's verifiable code combined with Microsoft SQL Server "Yukon" support for Common Language Runtime server-side procedures enables reuse of COBOL routines.