Take a look at SQL Server Express which is free from Microsoft. You get excellent tooling support in Visual Studio.
--Edit addressing runtimes--
Since a concern about installing runtimes has been brought up, I thought it appropriate to address this issue. Most Windows programmers now program in .Net. The .Net runtime needs to be on the clients computer for such programs to run. This is not really a problem since "Version 3.0 of the .NET Framework is included with Windows Server 2008, Windows Vista, and Windows 7" from Wikipedia. Of course one is always free to write "classic" windows programs in Visual Studio (unmanaged code) if for some reason they do not want to use .Net. SQL Server Express will work either way.
Perhaps my reference to SQL Server is confusing. I do not mean the full blown version running on a server but rather the stand alone runtime on a client computer. This used to be known as Microsoft SQL Server Desktop Engine (MSDE) and is completely free The current version is SQL Server 2008 Compact. Once again this is either pre-installed or easily rolled into a one-click deployment package.
From Microsoft's website:
Microsoft SQL Server Compact is a free
SQL Server embedded database ideal for
building standalone and occasionally
connected applications for mobile
devices, desktops, and Web clients.
Top Features
Free to use and distribute
Supports desktops and mobile devices
Small footprint for easy deployment
Fully embeddable architecture
No administration required
Single file, code-free database format
Support for ClickOnce, XCopy, MSI,
CAB, and non-admin embedded
installation options
Supports all Microsoft Windows
embedded, mobile, desktop, and server
operating systems
Supports a rich subset of Transact-SQL
syntax and SQL Server data types
Microsoft Visual Studio 2008
integration
Supports ADO.NET, LINQ to SQL, LINQ to
Entities, and the ADO.NET Entity
Framework
Supports multiple concurrent local
connections
So in summary one can get Visual Studio Express for free and build programs in VB or C# that use the free database runtime. Of course if one wants a more advanced version of Visual Studio costs can rise rapidly.
