I know this is an old post, but I think this is a very important topic, especially nowadays where we have 10M+ records and talk about terabytes of data.
I will also weight in with the following observations. I have about 45M records in my table ([data]), and about 300 records in my [cats] table. I have extensive indexing for all of the queries I am about to talk about.
Consider Example 1:
UPDATE d set category = c.categoryname
FROM [data] d
JOIN [cats] c on c.id = d.catid
versus Example 2:
UPDATE d set category = (SELECT TOP(1) c.categoryname FROM [cats] c where c.id = d.catid)
FROM [data] d
Example 1 took about 23 mins to run. Example 2 took around 5 mins.
So I would conclude that sub-query in this case is much faster. Of course keep in mind that I am using M.2 SSD drives capable of i/o @ 1GB/sec (thats bytes not bits), so my indexes are really fast too. So this may affect the speeds too in your circumstance
If its a one-off data cleansing, probably best to just leave it run and finish. I use TOP(10000) and see how long it takes and multiply by number of records before I hit the big query.
If you are optimizing production databases, I would strongly suggest pre-processing data, i.e. use triggers or job-broker to async update records, so that real-time access retrieves static data.