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I'm still confused. :-) I was LOL-ing in confusion.

Perhaps this will clear it up:

BeginExecuteNonQuery: Initiates the asynchronous execution of the Transact-SQL statement or stored procedure that is described by this SqlCommand, generally executing commands such as INSERT, DELETE, UPDATE, and SET statements. Each call to BeginExecuteNonQuery must be paired with a call to EndExecuteNonQuery which finishes the operation, typically on a separate thread.

BeginExecuteReader: Initiates the asynchronous execution of the Transact-SQL statement or stored procedure that is described by this SqlCommand and retrieves one or more results sets from the server. Each call to BeginExecuteReader must be paired with a call to EndExecuteReader which finishes the operation, typically on a separate thread.

BeginExecuteXmlReader: Initiates the asynchronous execution of the Transact-SQL statement or stored procedure that is described by this SqlCommand. Each call to BeginExecuteXmlReader must be paired with a call to EndExecuteXmlReader, which finishes the operation, typically on a separate thread, and returns an XmlReader object.

ExecuteReader: Executes commands that return rows. For increased performance, ExecuteReader invokes commands using the Transact-SQL sp_executesql system stored procedure. Therefore, ExecuteReader might not have the effect that you want if used to execute commands such as Transact-SQL SET statements.

ExecuteNonQuery: Executes commands such as Transact-SQL INSERT, DELETE, UPDATE, and SET statements.

ExecuteScalar : Retrieves a single value (for example, an aggregate value) from a database.

ExecuteXmlReader : Sends the CommandText to the Connection and builds an XmlReader object.

Bear in mind, however, that the ADO.NET DataSet is a memory-resident representation of data that provides a consistent relational programming model independent of the data source. The DataSet represents a complete set of data including tables, constraints, and relationships among the tables. Because the DataSet is independent of the data source, a DataSet can include data local to the application, as well as data from multiple data sources. Interaction with existing data sources is controlled through the DataAdapter.

The SelectCommand property of the DataAdapter is a Command object that retrieves data from the data source. The InsertCommand, UpdateCommand, and DeleteCommand properties of the DataAdapter are Command objects that manage updates to the data in the data source according to modifications made to the data in the DataSet. These properties are covered in more detail in Updating Data Sources with DataAdapters.

The Fill method of the DataAdapter is used to populate a DataSet with the results of the SelectCommand of the DataAdapter. Fill takes as its arguments a DataSet to be populated, and a DataTable object, or the name of the DataTable to be filled with the rows returned from the SelectCommand.

The Fill method uses the DataReader object implicitly to return the column names and types used to create the tables in the DataSet, as well as the data to populate the rows of the tables in the DataSet. Tables and columns are only created if they do not already exist; otherwise Fill uses the existing DataSet schema. Column types are created as .NET Framework types according to the tables in Mapping .NET Data Provider Data Types to .NET Framework Data Types. Primary keys are not created unless they exist in the data source and DataAdapter.MissingSchemaAction is set to MissingSchemaAction.AddWithKey. If Fill finds that a primary key exists for a table, it will overwrite data in the DataSet with data from the data source for rows where the primary key column values match those of the row returned from the data source. If no primary key is found, the data is appended to the tables in the DataSet. Fill uses any mappings that may exist when populating the DataSet (see Setting Up DataTable and DataColumn Mappings).