I recently discovered SQLite, a lightweight cross platform SQL database. SQLite can create in memory or on disk databases and is quite feature rich. It stores all data in a single disk file which can be easily copied or moved to another machine and/or platform.

SQLite readily imports and exports data from text formats. I was able to create two tables, import and populate them with delimited text files, cross query them and export the results in under 10 lines on the SQLite CLI interface.

There are interfaces for a variety of programming languages including an ODBC connector and a bunch of 3rd party GUI's like one of my favourites - Kexi.