Database caching?

Question

My requirement is like this.  I will be retrieving lets say around 1million or more records using ADO.NET into my database.  In case there is some failure in the data retrieval, how do i handle this scenario?  For eg. is there a way that I can bring the data till the failure occured, for eg, say 0.1 million records.. and resume the action once again from the point where it got failed.
Regards
Raja