SQLite for Windows Mobile and .NET CF.
Just thought I’d drop a line to all you .NET CF programmers looking for an alternative solution to the MS SQL mobile database engine. Check out SQLite. There are .NET drivers as well as drivers for virtually every major programming language including Java, PHP, Perl, .NET, C++ and more. PHP 5 comes with SQLite compiled in natively.
SQLITE is a light weight database system that is compatible on every major platform to include Mac, Windows, Linux, Windows Mobile and more. Any SQLite database you create on any platform will work on any other platform as well making it really easy to transfer data.

Another option is the .NET version of Perst, an open source, object-oriented embedded database.
Overview: http://www.mcobject.com/perst
Spec: http://www.mcobject.com/perst_database_spec
Download: http://www.mcobject.com/perst_eval