query duration using parameters vrs no parameters

Hi,
I have an app in C# that executes a query using SQLCommand and parameters and is taking too much time to execute.

I open a SQLProfiler and this is what I have :

exec sp_executesql N' SELECT TranDateTime ... WHERE CustomerId = @.CustomerId',
N'@.CustomerId nvarchar(4000)', @.CustomerId = N'11111

I ran the same query directly from Query Analyzer and take the same amount of time to execute (about 8 seconds)

I decided to take the parameters out and concatenate the value and it takes less than 2 second to execute.

Here it comes the first question...
Why does using parameters takes way too much time more than not using parameters?

Then, I decided to move the query to a Stored Procedure and it executes in a snap too.
The only problem I have using a SP is that the query can receive more than 1 parameter and up to 5 parameters, which is easy to build in the application but not in the SP

I usually do it something like
(@.CustomerId is null or CustomerId = @.CustomerId) but it generate a table scan and with a table with a few mills of records is not a good idea to have such scan.

Is there a way to handle "dynamic parameters" in a efficient way?

Did you observe any difference in query plans?

Thanks