I've read about MARS, thought about MARS and written a little about it what I learned. Now I'm going to divert my attention from WSE for a while and start playing again wtih ADO.NET 2.0. The first thing I'm going to do is take Angel's MARS FAQ blog post (he's on the ADO.NET team) and try out some of this stuff with the new bits, especially with transactions. Someone asked me about them, but I hadn't played with them yet so I didn't have much to say. :-( 

He also references an article on TechNet about MARS and transactions.

So check out Angel's post. I know I have to experiment before I can truly understand what's going on, so I will play with MARS a little more and figure out what you can and can't do and report back!