The Data Connection is a lifeline between the Data Provider (in this case, SQL Server) and your .NET application. This video shows how to use many of the properties and methods, as well as the two events that are raised by the Connection object
The SQL Data Command object allows you to perform commands and request data from a data source. This video demonstrates many of the methods and properties of the Data Command object.
When using stored procedures, you will often make use of input and output parameters. To populate or read from the parameters, you will need to add items to the Parameters collection. This video shows several techniques of how to accomplish this.
The SQL Data Reader is an object that allows you to read the data that is retrieved from a Data Command. It is refered to as a "fire-hose" connection, because you can only read in one direction (and can't jump back and forth through the Data Reader as you would an array or collection). This video shows several techniques of how to retrieve values and metadata from the Data Reader.
Since DataSets are completely disconnected from their data source, a special adapter is needed to resolve any changes made to the DataSet back to the original data source. The SqlDataAdapter knows how to resovlve Updates, Deletes and Inserts, and this video demonstrates how it works. Also shows the DataAdapter events that can be captured by your applications.
This video is a slide show that explains many key concepts like the difference between strongly typed and untyped datasets, how a dataset is different from a datareader, the XML/Dataset connection and more.