SQL2k5CE was released a while back and only now I'm getting around to talking about it, ah well better late than never.
What is SQL2k5CE? Quite simply, it's a free, stand alone, high performance database which you can use for both your desktop .Net 2.0 applications as well as your .Net Compact Framework 2.0 applications.
It's a stand alone database and thus you don't need to install anything as a service on the destination system, the database component DLLs are deployed along with your program and no seperate installation or setup is needed.
The closest analogy the SQL2k5CE would have to be.. an Access database. Previously if you were writing a simple program that needed a database but you didn't want to invovle the hassle of installing a service like MSDE you'd use a JET database, or what's commonly known as an Access database, or... MDB file.
You should consider switching to SQL2k5CE if you don't have a real reason to stick with an Access database, since it's much more easier to deploy and the coding method is more similar to coding against a real sized SQL Server to allow for easier migration.