Union will be faster, as it simply passes the first SELECT statement, and then parses the second SELECT statement and adds the results to the end of the output table.

The Join will go through each row of both tables, finding matches in the other table therefore needing a lot more processing due to searching for matching rows for each and every row.

EDIT

By Union, I mean Union All as it seemed adequate for what you were trying to achieve. Although a normal Union is generally faster then Join.

EDIT 2 (Reply to @seebiscuit ‘s comment)

I don’t agree with him. Technically speaking no matter how good your join is, a “JOIN” is still more expensive than a pure concatenation. I made a blog post to prove it at my blog codePERF[dot]net. Practically speaking they serve 2 completely different purposes and it is more important to ensure your indexing is right and using the right tool for the job.

Technically, I think it can be summed using the following 2 execution plans taken from my blog post:

UNION ALL Execution Plan

JOIN Execution Plan

Practical Results

Practically speaking the difference on a clustered index lookup is negligible: