One of the easiest things to fix when performance tuning queries are Key Lookups or RID Lookups. The key lookup operator occurs when the query optimizer performs an index seek against a specific table and that index does not have all of the columns needed to fulfill the result set. SQL Server is forced to go back to the clustered index using the Primary Key and retrieve the remaining columns it needs to satisfy the request. A RID lookup is the same operation but is performed on a table with no clustered index, otherwise known as a heap. It uses a row id instead of a primary key to do the lookup.
As you can see these can very expensive and can result in substantial performance hits in both I/O and CPU. Imagine a query that runs thousands of times per minute that includes one or more key lookups. This can result in tremendous overhead which is generated by these extra reads it effects the overall engine performance.
Monica’s absolutely right: key lookups can take a decent query and make it into a performance hog.