They’re one of those things — I’d say even the most common thing — that makes parameterized code sensitive to the bad kind of parameter sniffing, so they get a lot of attention.
The thing is, most of the attention that they get is just for columns you’re selecting, and most of the advice you get is to “create covering indexes”.
That’s not always possible, and that’s why I did this session a while back on a different way to rewrite queries to sometimes make them more efficient. Especially since key lookups may cause blocking issues.
Read on to see what you can do when a covering index isn’t a viable option.