Once you have configured a Data connection, you can query it though a SQL cell. If your Org has set up Shared Data Connections, these will also be available to choose from.
First, add a new SQL cell and select a data source:
You can then write SQL directly in the cell:
SQL Cells have an integrated preview which shows up to 10 rows.
Query results are returned as Pandas dataframes. The name of the Dataframe is easily changed by clicking the grey "Returned as dataframe" title and editing. The dataframe is automatically re-named and does not require the SQL cell be re-executed to take effect.