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Where should I be logging exceptions? At the data service tier(ExecuteDataSet, etc.) and/or at the data access layer and/or at the business layer?
At a physical tier boundary.
Also in the top-level exception handler in the client.
I.e. if your business tier is running on a server, log exceptions before propagating to the client. This is easy if you’re exposing your business tier as WCF web services, you can implement an error handler that does the logging before propagating a SOAP fault to the client.