In this Power BI tutorial, Adam looks at 4 ways to get data in Power BI. This focuses on Power BI Desktop and the main storage modes – Import, DirectQuery and Live Connections to Analysis Services. If you are new to Power BI, be sure to check out this Power BI Tutorial: 4 ways to get data.

DirectQuery Documentation:
Whitepaper
Data Sources
Limitations
Kasper de Jonge’s Blog regarding Performance