SQL Server Compact if you want to use the official microsoft solution. This has the advantage of being able to use replication with SQL server if you need that sort of thing.
SQLite if you want to somthing very simple small and free. This is what android uses for it's internal databases so it is very well supported and there are very good .NET bindings available.
One distinct advantage of SQLite is that it is cross-platform. So if you wanted to port your application to Mono.NET then you wouldn't have any modifications to make to the database implementation.
I do not like MS Access for this solution but a lot of people have included it in their answer. It is limited due to the proprietary format and platform dependence. It does have it's advantages though. You can manipulate data easily if you have a copy of MS Access, you can build queries graphically and create macros. You can easily integrate it with the rest of MS Office.
Out of all these SQLite would be my recommendation due to it being so compact, well documented and supported by a growing army of fellow developers regardless of platform.
EDIT
I realized that there is another option that everybody here forgot to mention
So long as you don't need relational tables you could use CSV file read as a dataset via ADO.NET. (More of a lulz suggestion than anything else but would be suitable in some cases and doesn't require additional libraries for a MS deployment.