For sure, but have a solid grounding in set theory to go with it.
I've dealt with so many poorly-performing stored procedures that ended up being written as iteration over a CURSOR when they could have been done with sets. Programmers who don't grok set theory reach for iterative constructs which, while they work fine, are an impedance mismatch with SQL.
I have seen DBAs make wonders without changing queries, only by adding the right set of indexes.