Ok, here's an alternative approach to persisting data without a dataset in cache for ASP .NET:

Save the dataset schema information to the viewstate and populate it from the grid items.  Just FYI I'm manually building a dataset in this example.  In the real environment I'll be calling a webservice to get it.  I hope no one else ever has requirements like mine 

Dim ds As DataSet

Private Sub Page_Load(ByVal sender As System.Object, ByVal e As System.EventArgs) Handles MyBase.Load

ds = New DataSet

If Not IsPostBack Then

ds.Tables.Add(New DataTable)

ds.Tables(0).Columns.Add("ID")

ds.Tables(0).Columns.Add("Text")

Dim dr As DataRow = ds.Tables(0).NewRow()

dr.Item(0) = "1"

dr.Item(1) = "SomeText"

ds.Tables(0).Rows.Add(dr)

dr = ds.Tables(0).NewRow()

dr.Item(0) = "2"

dr.Item(1) = "MoreText"

ds.Tables(0).Rows.Add(dr)

grid1.DataSource = ds.Tables(0).DefaultView

grid1.DataBind()

ViewState.Add("MySchema", ds.GetXmlSchema)

Else

BuildGridDataSource()

End If

End Sub

Private Sub AddRow()

Dim dRow As DataRow

dRow = ds.Tables(0).NewRow

dRow.Item(0) = ds.Tables(0).Rows.Count + 1

dRow.Item(1) = "New Row"

ds.Tables(0).Rows.Add(dRow)

grid1.DataSource = ds.Tables(0).DefaultView

grid1.DataBind()

End Sub

Private Sub BuildGridDataSource()

Dim oStringReader As New IO.StringReader(ViewState("MySchema").ToString)

ds.ReadXmlSchema(oStringReader)

Dim oGridItem As DataGridItem

Dim oGridCell As TableCell

Dim dRow As DataRow

For Each oGridItem In grid1.Items

dRow = ds.Tables(0).NewRow

Dim iColPos As Integer = 0

For Each oGridCell In oGridItem.Cells

dRow.Item(iColPos) = oGridCell.Text

iColPos += 1

Next

ds.Tables(0).Rows.Add(dRow)

Next

grid1.DataSource = ds.Tables(0).DefaultView

grid1.DataBind()

End Sub