What can I do with WorkFlows and lists without using Visual Studio? Can I develope any system that I can develop with SQL server and C#? What are my limitations?
There is much to say about Workflows in the context of SharePoint - it also depends on the version of SharePoint (2007 or 2010)- as many advances have been added to the SPD (e.g introducing Reusable Workflow, Site Workflow and many activities such as DocumentSet related activities, Security related, etc.), but bottom line you CANNOT reach external systems directly from workflows (by design - as workflows are meant to run as background processes)
However, via SharePoint 2010 Designer - you could rely on creating a BCS model (which retrieves data from an SQL database as back-end), create an External List for it and define a workflow to work on it. Have a look at creating one here http://channel9.msdn.com/Blogs/matthijs/Overview-Creating-Workflows-with-SharePoint-Designer-2010-InfoPath-2010-and-Visio-2010 or here for a reference on activities http://office.microsoft.com/en-us/sharepoint-designer-help/workflow-actions-in-sharepoint-designer-2010-a-quick-reference-guide-HA010376961.aspx
Other solutions would require development at a certain level.