Which is more expensive, multiple visit to database or heavy data from database?

If I have thousands of records than which will be more expensive:

1. Will go to database multiple time and fetch records in batch?


2. Will hit database only one and fetch all the records at once?

Or what if my records increase to lac or more than of that?

And what is the problem may occurs in both the case?

Could anybody please suggest the best practices for this?

Updated: Database is network located. and data is big enough.

Thanks, Sombir