Dynamic SQL is dynamic SQL no matter where you construct it. There are times when it is the way to go, but you should try to keep them to a minumum. A (possibly generated) structure of

IF (@Whatever is not NULL) 
  IF (@Other is not NULL)
    SELECT ...
    WHERE @Whatever = Whatever and @Other = Other
  ELSE
    SELECT ..
    WHERE @Whatever = Whatever
  ...
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Tends to perform better if used often. Just make sure it doesn't get way too big. And keep in mind that if there is no index on a column (@Whatever is NULL or @Whatever = Whatever) is enough, no need to test that variable in an IF and use separate selects.