Sqlite

I've built this into Windows apps, it's nice and small. See here for more:

Reusable\sqlite
Reusable\sqlite\SQLite_Static_Library
Reusable\sqlite\SQLite_Static_Library\ToDo.txt

The command line sqlite3 is usable:

.headers on
.mode columns
.tables
.schema #tablename#
#sql....
.quit

There is also sqlitebrowser.