Let’s say for instance you want to get a list of all your customers:
var customers = context.Customers.ToList();
And let’s assume that each Customer object has a reference to its set of Orders, and that each Order has references to LineItems which may also reference a Product.
As you can see, selecting a top-level object with many related entities could result in a query that needs to pull in data from many sources. As a performance measure, Include() allows you to indicate which related entities should be read from the database as part of the same query.
Using the same example, this might bring in all of the related order headers, but none of the other records:
var customersWithOrderDetail = context.Customers.Include("Orders").ToList();
As a final point since you asked for SQL, the first statement without Include() could generate a simple statement:
SELECT * FROM Customers;
The final statement which calls Include("Orders") may look like this:
SELECT * FROM Customers JOIN Orders ON Customers.Id = Orders.CustomerId;