SQL Server 2005's Express Edition is free, it supports database sizes up to 4GB, it allows seamless upgrades to other SQL Server editions, and it's deeply integrated into Visual Studio. What more could you possibly ask for?
Well, sometimes SQL Express is a little heavyweight. When you want to work with data in "sometimes connected" scenarios (such as field force automation), what you really want may be just a simple, reliable datastore for your application which you might merge with another datastore when online. With a runtime that doesn't run as a service, and takes a little less memory. And certainly something that works on portable devices.
Introducing SQL Server 2005 Everywhere Edition, which is also free, and fits that bill perfectly. Here is the website (see handy Express/Everywhere comparison chart), the datasheet (with details), a link to the Community Tech Preview download (with a release date target of the end of 2006).
Note that this CTP download only contains the runtime bits for developing desktop applications - Mobile support will come with the RTM. The SQL Server Books Online download that accompanies the CTP contains a set of walkthroughs for creating a database, working with data, etc. You may also be interested in Steve Lasker's FAQ, which explains how SQL Server Mobile has become SQL Server Everywhere.