Deep learning (DL) is growing in popularity for many data analytics applications, including among enterprises. Large business-critical datasets in such settings typically reside in RDBMSs or other data systems. The DB community has long aimed to bring machine learning (ML) to DBMS-resident data. Given past lessons from in-DBMS ML and recent advances in scalable DL systems, DBMS and cloud vendors are increasingly interested in adding more DL support for DB-resident data. Recently, a new parallel DL model selection execution approach called Model Hopper Parallelism (MOP) was proposed. In this paper, we characterize the particular suitability of MOP for DL on data systems, but to bring MOP-based DL to DB-resident data, we show that there is no single "best" approach, and an interesting tradeoff space of approaches exists. We explain four canonical approaches and build prototypes upon Greenplum Database, compare them analytically on multiple criteria (e.g., runtime efficiency and ease of governance) and compare them empirically with large-scale DL workloads. Our experiments and analyses show that it is non-trivial to meet all practical desiderata well and there is a Pareto frontier; for instance, some approaches are 3x-6x faster but fare worse on governance and portability. Our results and insights can help DBMS and cloud vendors design better DL support for DB users. All of our source code, data, and other artifacts are available at https://github.com/makemebitter/cerebro-ds.