It depends on how many users you will have on your site. If you are google,
then I would not recommend the multiple DataSource option. If a hobbiest or
small business site, it will get you to market quicker.

If it were me, I would use a tiered approach, but I focus more on Enterprise
level solutions. If you want to get a feel for this, there are some starter
apps from Microsoft or you can go the full monty with something like
www.dofactory.com 's Design Framework. It is relatively cheap for the amount
of code, samples and documentation and will give you a leg up on tiered
design.

I am not real fond of the DataSource controls, although I do see why they
are there. If you do go that route, consider goind AJAX, although EW will
not help as much as VWD in this respect. If you are cascading the dropdowns,
there is a nice way to do this with the AJAX controls, but you will need VWD
to complete the tasks. Check it out at http://ajax.asp.net and make sure you
look at the cascading dropdown video tutorial. You then feed the controls
based on what is updating. Pretty cool if you ask me. And, it reduces your
hits on subsequent AJAX calls, so it will reduce the "damage" from the
DataSource, if you go that route.

Sorry about the EW comment. I thought I was still in the Expression Web
group. The rest of the post applies.