Well... consider this: as I previously stated, the nature of a web application is to be disconnected. So you are inherently using a disconnected data architecture. However, that does not preclude you from using a connected data architecture underneath, you just have to remember that the life of the connection corresponds to the life of the page hit which is very short.
It is generally accepted that "connected" data is faster because of the internal optimizations provided by the data provider. In my web application architectures, I typically get data using data readers. These are forward only and very fast. I populate custom classes with them and consume those classes in the application. I seldom use data tables or data adapters because of the abstraction of data into class models.
One rule of thumb to go by is: get only the data you need when you need it.