A non-stop flight is one that goes from your departure airport to your destination airport without landing at any other airports.

A direct flight is one that goes from your departure airport to your destination airport with a single airplane but which makes stops at one, or more, other airports along the way.

Connecting flights are a series of flights which take your from your departure airport to your destination airport but require you to change airplanes at an intermediate airport.

Direct flights on SWA are much nicer than connecting flights. You stay on the airplane, have the opportunity to switch seats before the new passengers board and your time on the ground is generally much shorter than on a connecting flight.

Here is the Department of Transportation's site for airline on-time statistics.
http://www.bts.gov/programs/airline_information/

SWA's on-time statistics are pretty good. For the most recent six-month period, Oct '07 to Mar '08, SWA's on-time arrival rate at MCO was 81.41%. (On-time means an arrival within 15 minutes of the scheduled arrival time) For comparison, Delta's on-time arrival rate for MCO during the same period was 78.86%--essentially the same.

According to the DOT data, SWA operated 1,227 flights from MSY to MCO during the twelve months ending March 31. Of those, 221 were delayed, 1 flight diverted to an airport other than MCO and zero flights were canceled. That's an on-time percentage of 81.91%. Those stats include both non-stop and direct flights between MSY and MCO.

I give airlines a little more latitude than the official 15 minute rule. I consider my flight "on-time" if I arrive within an hour of schedule and pick my flights accordingly. That gives me a very high probability of arriving within my "on-time" window which makes the chance of my plans being disrupted quite low. I fly (almost entirely on SWA) about 4 or 5 times per month. Over the last two years I've arrived more than an hour late only twice. One of those times was last month when I arrived about 75 minutes late.