MySQL's current lack of stored procedures, as well as MSDE/SQL Sever Express' limitation to Windows only, drove me to Firebird. Open source (even for commercial apps), small footprint, and very little administration needed. It's had some good press lately, and has worked fine for me in VFP9 with both Cursor Adapters (thanks to Mr. McCasland) and SQL Passthrough. There's an interesting Firebird/SQL Server Express at
http://www.dotnetfirebird.org/blog/2005/02/embedded-firebird-and-microsoft-sql.html. The compare is technically with Firebird's embedded (rather than server) version, but I don't think that changes much of the results.