Post Made Community Wiki by parasietje
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I would rephrase that to "Never do in code what SQL Server can do for you well".

Things like string manipulation, regex work and such I would not do in SQL Server (barring SQL CLR).

The above tends to talk about things like - joins, set operations and queries. The intention behind it is to delegate much of the heavy lifting to SQL Server (at things it is good at) and reduce the amount of IO as much as possible (so let SQL do the joins and filter down with a WHERE clause, returning a much smaller data set than otherwise).