C# IEnumerator/yield structure potentially bad?

Background: I've got a bunch of strings that I'm getting from a database, and I want to return them. Traditionally, it would be something like this:

public List<string> GetStuff(string connectionString)
{
    List<string> categoryList = new List<string>();
    using (SqlConnection sqlConnection = new SqlConnection(connectionString))
    {
        string commandText = "GetStuff";
        using (SqlCommand sqlCommand = new SqlCommand(commandText, sqlConnection))
        {
            sqlCommand.CommandType = CommandType.StoredProcedure;

            sqlConnection.Open();
            SqlDataReader sqlDataReader = sqlCommand.ExecuteReader();
            while (sqlDataReader.Read())
            {
                categoryList.Add(sqlDataReader["myImportantColumn"].ToString());
            }
        }
    }
    return categoryList;
}

But then I figure the consumer is going to want to iterate through the items and doesn't care about much else, and I'd like to not box myself in to a List, per se, so if I return an IEnumerable everything is good/flexible. So I was thinking I could use a "yield return" type design to handle this...something like this:

public IEnumerable<string> GetStuff(string connectionString)
{
    using (SqlConnection sqlConnection = new SqlConnection(connectionString))
    {
        string commandText = "GetStuff";
        using (SqlCommand sqlCommand = new SqlCommand(commandText, sqlConnection))
        {
            sqlCommand.CommandType = CommandType.StoredProcedure;

            sqlConnection.Open();
            SqlDataReader sqlDataReader = sqlCommand.ExecuteReader();
            while (sqlDataReader.Read())
            {
                yield return sqlDataReader["myImportantColumn"].ToString();
            }
        }
    }
}

But now that I'm reading a bit more about yield (on sites like this...msdn didn't seem to mention this), it's apparently a lazy e