I will suggest you use Cache
class, because the common opinion says it is more officiant than the Application. You can use Global.asax if you need to cache the Dataset on start of the application. Thus the user will not wait for initial load. Otherwise, you can cache it on initial request by the first user. You need to set what expiration of the data should have the Cache class.
Please also note that the questions is not directly related with our controls.
the Telerik team