SQLite is a pretty cool little database. It is a small C library that implements a self-contained, zero-configuration SQL database engine. The databases are stored as simple files requiring no server, no complexities and with a fair amount of support of the SQL language.
As simple files the databases have several benefits, they can easily be versioned using a version control system such as Subversion. They can be deployed to remote servers, such as a hosted web server which you may not have a database or permissions on. Plus, SQLite will be supported by default in MySQL 5, making this even easier.
For a simple, small load quick database, check it out: