Ted Neward has a crusade against DataSets going on on his blog. At this point in time, I really only ever use them inside a service and only at times when I am horribly lazy or when I code under the influence. Otherwise I just go through the rather quick and mostly painless process of mapping plain data structures (generated from schema) to and from stored procedure calls myself. More control, more interoperability, less weight. I really like when my code precisely states how my app interacts with one of the most important components: the data store.
I don't even use DataSets on ASP.NET web pages anymore. The data binding logic allows to bind against anything and if I have a public or protected property "Customer" on my page class that is a data structure, I can simply have an expression like <%# Customer.Name %> on my page and all is good. Likewise, a DataGrid happily binds against anything that is an ICollection (Array, ArrayList, ...) and the DataGridItem.DataItem property will then contain the individual element. It's just that the design-time support in VS.NET is very DataSet focused and messes things up when you click the wrong things.
DataSets are really cool for Windows Forms apps. By now I've reached a point where I simply conclude that the DataSet class should be banned from the server-side.