+14  A: 

Union removes duplicates. Concat does not.

So, they produce different results if the sources either contain any items in common, or have any internal duplicates.

If you can guarantee there are no duplicates, or if there are few and you don't care about having them in your output, Concat will be faster since there's no need to test each value against what has already been yielded.

However, if there are many duplicates and you don't need them, the extra processing in Union to remove the dupes may be offset by the savings in your code that consumes the results.

richardtallent
+5  A: 

Do you only care about execution speed? How long does it take you to process an element when you receive it?

Concat is simpler - it doesn't need to perform any processing itself, or buffer the results that it's already returned. However, it will produce more results if there are any elements in the intersection. If you're going to take a long time to process each result, Concat may end up effectively being slower.

Jon Skeet
In my case, I'll use a Distinct() in the end, which favors the use of Union I think.
Jader Dias
If you use Union then you don't need to call Distinct afterwards anyway.
Jon Skeet
Union removes duplicates between the lists, but if the first list has duplicates within itself those will not be removed by union. So - Distinct might still need to be called, depending on circumstances.
David B