I would like to know what are benefits and what are drawbacks of SQL stored procedures and procedures written on some common programming language, more precisely, which method is preferred in which situations.
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Stored procedures have the advantage of running on the server, whereas most common programming languages run on a client machine, or a separate server, incurring a network overhead. But work at a more abstract level than programming languages.
This means the stored procedure is good at handling a large amounts data using set based operations on the server. Programming languages are generally better if you need to do some heavy calculations.
Finding your prime customers from a large set of data, use a stored procedure.
Finding some large prime numbers, use common programming language. (other than SQL!)