I use XRM Toolbox (XRM Toolbox link) to generate FetchXML queries to extract data from Dynamics 365 as I can use filters to restrict the number of records extracted (eg date after xx/xx/xxxx and in region AAA only).
However, FetchXML queries will also get slow if all-attributes is used to query column information. By default, all-attributes will be used if more than 17 columns are requested. Some workaround and manual updating of the FetchXML query will be needed if you need to extract more than 17 columns in one query, but there is a very tangible 3-4x improvement in refresh time by not using all-attributes.
XRM Toolbox (Power Query (M) Builder to be more exact) presents the tables and columns in a much easier to navigate interface compared to the built-in connector, and allows you to quickly find and select the columns you want.
Also, if you have a predefined report/view on Dynamics 365, Power Query (M) Builder can use that view to generate FetchXML to extract the same columns and also combine the filters used to generate the view - definitely a time-saver.
