How to fake SqlDataAdapter, SqlConnection and SqlCommand in unit tests?

As a general rule, to mock sealed classes (1) you need a mocking framework that can do it or (2) you need to write (unsealed) wrappers around the sealed class and use/mock those. TypeMock can mock sealed classes, but it costs money. But, beware, the ability to mock sealed classes and other typically non-mockable items, can keep you from having to refactor your code to a better design (assuming you agree that testable code is better code).

Wrappers or adapters are relatively easy to write, but they are themselves not testable for precisely the same reason you write them. Because of their simplicity, though, you can often reason that they are correct by inspection.

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