What is the difference between OData and FetchXML?

Both retrieve data from Dataverse, and the choice depends on what the query needs to do.

OData

Standard REST syntax with filtering and sorting in the URL. Easy to read, well supported by most tools, and covers the vast majority of needs. Start here.

FetchXML

Microsoft's own XML-based query language. It handles things that OData does not handle as well: aggregation, multi-level joins, and queries against records that do not have a relationship.

Practical shortcut

Advanced Find in Dynamics 365 can export the query as FetchXML. Build the query visually, extract the XML, and use it in the integration. This saves a lot of time and reduces errors.

The advice

Use OData for everything that can be expressed with it. Turn to FetchXML when you hit a wall—not as your first choice, because it is harder for the next person maintaining it to read.