Andrew,
If you are on CRM Online the only option is FetchXML.
The official story:
There are two types of reports in Microsoft Dynamics CRM:
SQL-based
These reports use SQL queries to securely retrieve data for reports from filtered views defined by the system. These are the same reports that have been available for previous versions of Microsoft Dynamics CRM. The default reports that are shipped with Microsoft Dynamics CRM 2011 and Microsoft Dynamics CRM Online are SQL-based reports.
For security reasons, you cannot deploy custom SQL-based reports to Microsoft Dynamics CRM Online.
Fetch-based
These reports are introduced in Microsoft Dynamics CRM 2011 and use FetchXML queries to retrieve data for reports. You can deploy custom fetch-based reports to Microsoft Dynamics CRM Online and to on-premises Microsoft Dynamics CRM 2011. All reports that are created using the Report Wizard in the Microsoft Dynamics CRM 2011 and Microsoft Dynamics CRM Online are Fetch-based reports.
Reports in Microsoft Dynamics CRM Online run in sandbox mode, and this is done by enabling RDL sandboxing in Microsoft SQL Server Reporting Services. As a result, certain features might not be available in Microsoft Dynamics CRM Online.