It depends on what you want to do with it. Getting started with EF isn't hard, but getting the maximum out of it may be harder.
Personally, I've never liked (nor used) DataSets much. EF is a lot cleaner and much easier to maintain and program against.
I won't compare them here as a) I've done that in brief in the book, and b) other have done that extensively already: http://www.google.com/search?hl=en&q...l=&oq=&gs_rfai