I've used "real" RDBMSes (MySQL and PostgreSQL -- yes, I know, MySQL doens't really count compared to Postgres, Oracle or DB2, but I've used it...), MS-Jet (ugh), and SQLite, and my favorite by far is SQLite. PostgreSQL is lovely, and can do maybe 90% of what Oracle can for 0% of the price, but massive overkill for small apps (not to mention not very friendly to non-DBA system admins).

As for things that can get away with just a simple key-value mapping and don't need to be written to disk, I love std::map. The STL makes C++ that much nicer to live with (and it beats Microsoft's MFC utility classes any day).

-lee