<p>SqlDataReader is a faster way to process the stored procedure. What are some of the advantage/disadvantages of using SQLDataReader?</p>

It depends on what you need to do.  If you get back a page of results from the database (say 20 records), it would be better to use a data adapter to fill a DataSet, and bind that to something in the UI.
But if you need to process many records, 1 at a time, use SqlDataReader.