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Syntax
UNION DISTINCT -- dedups after combining the SELECTs
UNION ALL -- non dedup (faster)
UNION -- the default is DISTINCT
SELECT ... UNION SELECT ... -- is OK, but ambiguous on ORDER BY
( SELECT ... ) UNION ( SELECT ... ) ORDER BY ... -- resolves the ambiguity
Remarks
UNION does not use multiple CPUs.
UNION always* involves a temp table to collect the results. *As of 5.7.3 / MariaDB 10.1, some forms of UNION deliver the results without using a tmp table (hence, faster).