I have a method, which has a try/catch/finaly block inside. Within the try block, I declare SqlDataReader as follows:
SqlDataReader
You should use a using {...} block to wrap your IDisposable objects in - the Dispose() method (which for SqlDataReader passes off to the Close() method) will be called when the using block ends. If you do not use using, the object will not be automatically disposed when it goes out of scope - it will be up to the object finalizer, if it has one, to get rid of resources when it is garbage collected
using (SqlDataReader aReader = aCommand.ExecuteReader())
{
// ... do stuff
} // aReader.Dispose() called here