So basically I have this relatively long stored procedure. The basic execution flow is that it SELECTS INTO some data into temp tables declared with he #
I would guess it could possible be down to caching. If you run the stored procedure twice is it faster the second time?
To investigate further you could run them both from management studio the stored procedure and the query version with the show query plan option turned on in management studio, then compare what area is taking longer in the stored procedure then when run as a query.
Alternativly you could post the stored procedure here for people to suggest optimizations.