By using is as XML Data Extension – http://blogs.msdn.com/b/bimusings/archive/2006/03/24/560026.aspx
By using Reporting Services data processing extensions –
http://msdn.microsoft.com/en-us/library/ms152917(v=sql.100).aspx
http://www.devx.com/dbzone/Article/31336/0/page/2
By Dynamically creating rdl and load it using CreateReport method – http://stackoverflow.com/questions/18437741/ssrs-with-custom-dataset-system-data-dataset
Default supported data sources – http://msdn.microsoft.com/en-us/library/ms159219(v=sql.100).aspx