There are three ways to connect to data: Import, Live Connection, and DirectQuery (note: currently in preview are hybrid methods). The choice of method will depend on various considerations, such as the size of the data, the number of users, and the data refresh needs. Make sure an appropriate assessment is made before the report is built, as switching from one method to another is not always possible or straightforward.
The following chart summarizes the options on several dimensions.
*This is for Power BI Pro. Power BI Premium has more flexible refresh and size limits.