The Database Tuning Advisor is recommending that I create a bunch of statistics in my Database. I'm something of a SQL n00b, so this was the first time I'd ever come across such a creature. The entry in MSDN was a little obtuse - could someone explain what exactly this does, and why it's a good idea?
Cost Based Query Optimisation is a technique that uses histograms and row counts to heuristically estimate the cost of executing a query plan. When you submit a query to SQL Server, it evaluates it and generates a series of Query Plans for which it uses heuristics to estimate the costs. It then selects the cheapest query plan.
Statistics are used by the query optimiser to calculate the cost of the query plans. If the statistics are missing or out of date it does not have correct data to estimate the plan. In this case it can generate query plans that are moderately or highly sub-optimal.
SQL Server will (under most circumstances) generate statistics on most tables and indexes automatically but you can supplement these or force refreshes. The query tuning wizard has presumably found some missing statistics or identified joins within the query that statistics should be added for.