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answers:

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What are advantages and disadvantages of Microsoft-provided data provider classes in ADO.NET? are they fast?

+1  A: 

SQLServer.NET data provider is high-speed and robust, but requires SQL Server license purchased from Microsoft, or you can get a free Express Version (if you get the new SQL Server R2 Express you get 10 GB of database storage!) (thanks from the comments, slipped my mind) http://www.microsoft.com/express/database/

OLE-DB.NET is universal for accessing other sources, like Oracle, DB2, Microsoft Access and Informix, but it’s a .NET layer on top of OLE layer, so not the fastest thing in the world. ODBC.NET is a deprecated layer provided for backward compatibility to ODBC engines.

More in depth look at Data Providers http://msdn.microsoft.com/en-us/library/s7ee2dwt(VS.71).aspx

Spooks
You don't (immediately) need a license for MS-SQL, SQL Express is free for limited personal and commercial use.
Henk Holterman
gbn
-1 for not understanding the difference between SQL Server engine and the data providers. A standard XP install will connect to a SQL Server engine with **no** SQL Server specific download or install or license needed
gbn
yes but a sql server is needed somewhere, you can't just connect to a ghost sql server...
Spooks
Almost clever.. but how does it relate to the question about Db drivers? The drivers are independent of SQL Server so you can have the drivers but not use them...
gbn