The DataSet consists of a collection of DataTable objects 
that you can relate to each other with DataRelation 
objects. A DataSet can read and write data and schema as 
XML documents..The DataReader object is the ADO.NET 
counterpart of the read-only, forward-only default ADO 
cursor

DataSet

Data set can be said as a temporary data base which works 
on disconnected architecture which stores schema and data 
in application memory area..It fetches all data at a time..
DML is entertained here

DataReader

Datareader is like a forward only recordset. It fetches one
row at a time.DataReader is readonly so we cannot do any 
transaction on them. DataReader will be the best choice 
where we need to show the data to the user which requires 
no transaction ie reports. Due to DataReader is forward 
only we cannot fetch the data randomly. .NET Dataproviders 
optimizes the datareaders to handle the huge amount of data.

1)Data set is work in diconnected architure.
Datareader is work in connected architure.

2)according to speed datareader is faster than dataset.

3)In case of dataset it contain all 
tables,relations,constriants which is not in datareader so 
that speed of datareader is fast.

4)Data set can persist records where datareader is not.

5)we can save ,update data in dataset and save using 
acceptchanges method where datareader cannot.

6)datareader is forward only.where dataset is not.

The DataSet consists of  DataTable objects 
that you can relate to each other with DataRelation 
objects (and dataset is disconnected data model)

The datareader is connected model(connection must be open 
while operation performs)
and it is state forward read only counter part of ADO.net