Apparently [MS] is giving gifts away even before Christmas. Seems like Sql Server 2005 Compact Edition has been released, too. I say seems because download page is down, just like (VS2005 SP1 Update For Vista) Beta is (I've put parentheses in place to distinguish the meaning of Beta).
If you don't know what Compact Editions is then you should know that this is a free, copy & paste single user stripped down Sql Server 2005 version - perfect for storing data of single user (PC, smart phone, PocketPC, tablet PC) applications. The biggest plus is that it doesn't require any installation, just include proper assemblies and that's it. Forget DLL Hell (Access anybody?), complicated setup scenarios (MSDE anybody) etc.
UPDATE 19.12.2006: Link to download page now says RC1 but it still doesn't work.