Ben Johnston shares some thoughts:
I started writing this post with the intention of showing performance details and differences between the legacy TSQL functions and the new regex functions, along with basic functionality examples. There is just too much information to put this into a single post, so I’ve split it. This post covers my initial findings and basic guidelines for using regex functions. The next post is an in-depth look at performance. It compares legacy functions and their equivalent regex functions. I’ve already seen posts covering functionality, so that’s why I’m primarily focused on performance. I spend a good portion of my time on performance tuning, so it’s one of the first questions I ask about a new solution, especially one with functionality that could replace some legacy functionality.
This post is high-level advice for each of the functions. The short version is most of the regular expressions won’t make your code faster, so save them for the cases that are extremely difficult or impossible to solve using classic T-SQL techniques. But there are a couple of winners.