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What you pick depends on what you want to do. Maybe post your business need we can direct you to the best technology to use. I'll make a couple tips as I explain each of the technologies.
DECS - (domino enterprise connection service)is a free application that comes with the Domino server that enables you to associate a Notes Document with matching record(s) on a backend database, such as DB2, SQL, etc. It is forms driven, which means you do no real programming, just fill in a few forms which define the backend database (connection document) the notesdatabase (another connection document) and what you want to do (activity document). Behind the scenes it implements your request using Lotus Connectors and a Lotusscript extension (LCLSX). DECS only works with databases that are on the server and is triggered when a user opens, update, creates, or deletes a document. You can respond to all four events or even just one.
DCR - (Data connection resource) is like DECS and free, but with less options. If you have very simple requirements like looking up a value in an external database, this may be OK. Personally, I've never tried it as DECS let's me centralize the activities and connections on the server.
LEI - is a premium application ($ reasonable for what is does) that runs on a domino server, preferably on its own server. Like DECS, you can use it without programming, just filling in connection and activity documents, but you can supplement with code too. It also uses LCLSX in the background. So you can say this is another LCLSX application. It has huge flexibility to replicate or transfer large volumes of data between databases (the source/destination can be a Notes database, but it doesn't have to be). The newest version that requires Domino 6 has fantastic Virtual documents capabilities that lets you work with a data that is in an external database as if the data were in Notes. For example, you can have a Notes view of Inventory records where the data shown exists only on the backend database. This is a separation of data from presentation.
LSDO - This is the Lotusscript Data Object API which you can use with ODBC datasources. You can do pretty much anything an SQL command can do. Its simpler to learn than its more sophisticated cousin LCLSX, but I've found it works inconsistently between releases. Learning LCLSX would be a better long term strategy.
LCLSX - (Lotus Connector Lotusscript Extension) This is the sophisticated API that is the backbone of DECS and LEI. Its free. You can code it yourself, but its not for the beginner. There is some good documentation out there, but not a huge volume. It can be a little frustrating to learn, but worth it. You can use this for anything, but its best for unattended batch jobs. I'd use LEI if you need virtual documents and DECS if you need virtual fields (data lookups and updates).