Advantages are that you can cache the data and do simple filtering and sorting, something that you will need for basis things. For advanced things, they are pretty much useless as it is more problem then support.
For instance, to filter columns, to construct advanced SQL queeries or something like that, you will have to apply whole set of workarounds, probably learn XPath (form of SQL in XML world) as none of those every day operations are not possible native using DataSets...
So, if you just need to grab some tables localy and use simple cursor to read them all, dataset is good enough. If your project is evolving, better see some other solution...
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