The query window has  a lot more to offer than just outputting the results to grid.  You can also output the results in text format and also save the results to a file.  If you are in the query window, you may notice an additional toolbar on top of it similar to the one below:

There are 3 buttons there that let you specify how you want your output from the query.  They are Results to Text, Results to Grid, and Results to File respectively:

You can also display the estimated execution plan for your query by clicking the following button:

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You can also include the actual execution plan by clicking the following button before you execute your query:

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