SQL Server CE 4 (SQL Server Compact Edition 4.0) is not news already (If it is, you could read this article)
But it is very interesting to see SQL Server CE 4 perf
I have recently worked on a project using SQL CE 4 and NHibernate and I found the performance to be really good. With SQL CE 4 we were able to insert 8000 records in a second. With Oracle over the network we were only able to insert 100 records per second even batch-size and seqhilo approaches were used.
I did not test it but looking at some of the performance reports for NoSQL products for .NET, SQL CE 4 seems to be one of the best solutions for stand-alone applications.
Just avoid using Identity columns, we noticed the performance was 40 times better if they are not used. The same 8000 records were taking 40 secs to insert when an Identity column was used as PK.