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I have noticed that it takes a long time in connecting to the database when executing my query. Is it possible to write an asp.net application in such way that has a database connection that is always open? Or is it better to write service and have asp.net app communicate with that service?
You can use connection pooling in order to conserve time it takes to initialize a connection. BTW, SQL-Server supports it OOTB, so you don’t really have to implement it yourself.
It does not matter much which means you use to connect to the DB (ADO.NET, DAAB, etc..)
As to your second suggestion, to write a service and have the application communicate requests to it: it wont help in this scenario, since you are simply moving the problem to another process, but the accumulated time of fulfilling a request remains or even grows, considering the extra network time.