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We study {\em $\nabla$-Sobolev spaces} and {\em $\nabla$-differential operators} with coefficients in general Hermitian vector bundles on Riemannian manifolds, stressing a coordinate free approach that uses connections (which are typically denoted $\nabla$). These concepts arise naturally from Partial Differential Equations, including some that are formulated on plain Euclidean domains, such as the weighted Sobolev spaces used to study PDEs on singular domains. We prove several basic properties of the $\nabla$-Sobolev spaces and of the $\nabla$-differential operators on general manifolds. For instance, we prove mapping properties for our differential operators and independence of the $\nabla$-Sobolev spaces on the choices of the connection $\nabla$ with respect to totally bounded perturbations. We introduce a {\em Fréchet finiteness condition} (FFC) for totally bounded vector fields, which is satisfied, for instance, by open subsets of manifolds with bounded geometry. When (FFC) is satisfied, we provide several equivalent definitions of our $\nabla$-Sobolev spaces and of our $\nabla$-differential operators. We examine in more detail the particular case of domains in the Euclidean space, including the case of weighted Sobolev spaces. We also introduce and study the notion of a {\em $\nabla$-bidifferential} operator (a bilinear version of differential operators), obtaining results similar to those obtained for $\nabla$-differential operators. Bilinear differential operators are necessary for a global, geometric discussion of variational problems. We tried to write the paper so that it is accessible to a large audience.