Please refer to the following URLs to know the differences between DataReader and DataSet,http://onlydifferencefaqs.blogspot.in/2012/07/adonet-difference-faqs-1.htmlhttp://onlydifferencefaqs.blogspot.in/2012/08/difference-between-datareaderdataset.html

Connected Classes  - Some Operations performing in the database to make some changes
List of all classes ::

ProviderFactory
Connection
Transaction
ConnectionStringBuilder
DataAdapter
Command
Parameter
DataReader


DisConnected Classes  - Some Operations performing in the Client side without connecting to DB to make changes & then connect & save in to DB

DataSet
Datatable
DataView
DataColumn
DataRow
Constraint
DataRelation
DataRowView

Actually in ADO.Net we have ConnectionOriented Classes
& DisConnected Oriented Classes

ConnectedOriented Classes  - Connection to the DB should exist while performing tasks to show .
DataReader 
DataAdapter
DataConnection 

DisconnectedOriented Classes
DataSet
Datatable
Dataview

In Disconnected Oriented Classes we can manipulate the data after the connection is closed or disposed then again we can connect & make changes in to the database.

DataReader -- Mainly called as ReadOnly forward Cursor to access the data from the database