In BASS I can load a stream from a file and play it, or I can sample the file and play the sample instead.
What are the differences and implications I should take into account?
Presumably you are talking about this BASS: http://www.un4seen.com/
In generally samples are loaded into memory before playback, streams are reading and playing at the same time.
As it says in the manual: "If you want to play a large or one-off sample, then it would probably be better to stream it instead with BASS_StreamCreateFile."
On the other hand, if you are going to be playing the sample over and over again, having it in memory is probably useful.
There may be some variation in latency before playback starts as well - I imagine the sample playback will be quicker to start. I don't know for sure though as I've only used the stream interface for my work.