I have some C# in which I create a reader on a connection (
ExecuteReader), then for every row in that reader, perform another command (with
ExecuteNonQuery). In this case is it better that I use
MultipleActiveResultSets=True on my connection or use multiple connections?
Multiple Active Result Sets (MARS) was added specifically for this type of operation so that you don't have to have two connections open at the same time to be able to read from a SqlDataReader AND execute additional batches.
MARS is compatible with SQL Server 2005 and above. To quote from MSDN docs:
Before the introduction of Multiple Active Result Sets (MARS), developers had to use either multiple connections or server-side cursors to solve certain scenarios.
For more info see:
Worked example reading and updating data:
MSDN Library - Manipulating Data (MARS) scroll down to 'Reading and Updating Data with MARS'
This is as far as I know the reason MARS was added, so yeah I think you should use it.