if you go for webhacks, mySql might be ok.

For a more professional task take postgresql. It's much more advanced in implementing the standards (mySql don't knows subqueries - and I use it since years.

There is even a free edition of oracle9 (perhaps today oracle10) - which I downloaded but I'm hanging in the installation-process. And it's a 500 MB tarball to download

There is pure java-implemented database which stays in memory: hsqldb, but if you have lots of data you should have lots of ram. A jre is included in my knoppix, so the more small hsqldb (a few MBs) is everything you need.