Dino Esposito escreveu uma matéria bastante interessante na coluna Cutting Edge da revista MSDN Magazine deste mes, chamada "DataSets vs. Collections", onde ele mostra os prós e contras de cada um deles. Gostei bastante de um parágrafo onde ele cita o uso/cenário dos Datasets: :)
"Both DataSets and custom classes don't limit what you can do in any way, and both can be used to accomplish the same aims. That said, DataSets are fantastic tools for prototyping applications and represent excellent solutions for building systems in a kind of emergency—a limited budget, an approaching deadline, or a short application lifetime. For relatively simple applications, custom entities add a perhaps unnecessary level of complexity. In this case, I suggest that you seriously consider using DataSets."