In MS Sql, different join algorithms will be used in different situations depending on the tables (their size, what sort of indexes are available, etc). I imagine other DB engines also use a variety of algorithms.
The main types of join used by Ms Sql are:
- Nested loops joins
- Merge joins
- Hash joins
You can read more about them on this page: Msdn -Advanced Query Tuning Concepts
If you get SQL to display the 'execution plan' for your queries you will be able to see what type of join is being used in different situations.