Not all filter commands are created equal. Different filtering operations should be used at different times to get the best performance our of your SQL Server.
While the JOIN, EXISTS and IN filters can give you the same results the way that SQL Server gets to the data is very different and can lead to poor system performance. Also when doing a select vs. a delete these same operators will give different execution plans.
I’ll refer you do this file which will provide you with some sample code which can be run against the AdventureWorksDW sample database. Run each query with the execution plan being displayed. You’ll see that the IN and EXISTS both produce the same plan, while the JOIN produces a better plan when it comes to selecting data. However when it comes to deleting the data the EXISTS and IN produce a better plan than the JOIN command does. (Don’t worry, these delete scripts won’t actually remove any data from the table. The data these scripts try to delete doesn’t actually exist. We are looking for execution plans here, not actual deletes).