Newbie Q: Fetching vs. Looping

Hello Again, Folks, I've been testing this for a while and keep coming up with mixed results. In general, is it faster and more efficient to query a MySQL database once with a large SQL select statement and then loop through the huge resulting table? Or does it make better sense to perform a number of smaller queries with smaller resulting tables? This is the kind of stuff they just don't seem to talk about in the manuals. Any insight is appreciated. Sorry for the ignorant question! Jed