Datadog provides an SQL Server integration that allows users to monitor their databases within the context of their application. The integration can be extended to collect custom metrics, enabling users to choose exactly what functionality they want to monitor and improve. Users can configure the Agent to collect performance counters beyond those already queried by default or use the Windows Management Instrumentation (WMI) integration to gather metrics from SQL Server. Custom metrics can be collected automatically by editing the SQL Server configuration file or using WMI, allowing users to add tailored monitoring for their databases. With custom metrics and Datadog's correlation capabilities, users can gain detailed insights into SQL Server performance issues and optimize their databases more effectively.