Perform A Query That Will Merge Contents Of Various Table

I am trying to perform a query in SQL that will merge the contents of various table, using search criteria to narrow down the results. All of the tables have the exact same fields, and the search criteria is the same for all of them. What I am looking for is the most efficient way to perform this. I am using SQL stored procedures, and passing the results into my code. Note that in my real-world scenario there are more than three tables.

1) Merge all the tables into one and then perform the search criteria:
SELECT a, b, c FROM
(SELECT a, b, c FROM Table1
UNION ALL
SELECT a, b, c FROM Table2
UNION ALL
SELECT a, b, c FROM Table3) AS MY_MERGE
WHERE {SEARCH CRITERIA}

2) Perform the search criteria on each table and merge the results
SELECT a, b, c FROM
(SELECT a, b, c FROM Table1 WHERE {SEARCH CRITERIA}
UNION ALL
SELECT a, b, c FROM Table2 WHERE {SEARCH CRITERIA}
UNION ALL
SELECT a, b, c FROM Table3 AS MY_MERGE WHERE {SEARCH CRITERIA})