It also depends on how your serializing those entities. Binary Formatter? are you hosting the remoting layer in IIS? etc etc...
My guess though is that xmiting from sql server is going to be faster from a pure performance perspective, infact i am almost 100% sure ( plus i remember reading in some newsgroup post somewhere that a guy did a test on it and sql was always faster
)
Obvisouly remoting over TCP is going to be more on par with sql but will still be faster..
The problem with connecting directly to sql server though is that it doesnt scale...by using a remoting layer you can take advantage of connection pooling...