Difference between DataReader and DataAdapter / DataSet and DataAdapter?

You can use the ADO.NET DataReader to retrieve a read-only, forward-only stream of data from a database. DataReader can increase application performance and reduce system overhead because only one row at a time is ever in memory.
After creating an instance of the Command object you create a DataReader by calling Command.ExecuteReader to retrieve rows from a data source, as shown in the following example.
SqlDataReader myReader = myCommand.ExecuteReader();
You use the Read method of the DataReader object to obtain a row from the results of the query.
while (myReader.Read())
Console.WriteLine("\t{0}\t{1}", myReader.GetInt32(0), myReader.GetString(1));
myReader.Close();

DataSet is a memory-resident representation of data that provides a consistent relational programming model regardless of the data source. It can be used with multiple and differing data sources, used with XML data, or used to manage data local to the application. DataSet represents a complete set of data including related tables, constraints, and relationships among the tables. The methods and objects in a DataSet are consistent with those in the relational database model. The DataSet can also persist and reload its contents as XML and its schema as XML Schema definition language (XSD) schema.
The DataAdapter serves as a bridge between a DataSet and a data source for retrieving and saving data. The DataAdapter provides this bridge by mapping Fill, which changes the data in the DataSet to match the data in the data source, and Update, which changes the data in the data source to match the data in the DataSet. If you are connecting to a Microsoft SQL Server database, you can increase overall performance by using the SqlDataAdapter along with its associated SqlCommand and SqlConnection. For other OLE DB-supported databases, use the DataAdapter with its associated OleDbCommand and OleDbConnection objects.