The SQLServer.NET data provider is high-speed and reliable, but requires a SQL Server license purchased from Microsoft, or you can get a free express version (if you get the new SQL Server R2 Express, you get 10 GB of database storage!) (Thanks from comments, slipped)
http://www.microsoft.com/express/database/
OLE-DB.NET is universal for accessing other sources, such as Oracle, DB2, Microsoft Access and Informix, but its .NET layer is on top of the OLE layer, so it is not the fastest thing in the world. ODBC.NET is an obsolete layer that provides backward compatibility with ODBC engines.
Take a closer look at the data providers
http://msdn.microsoft.com/en-us/library/s7ee2dwt(VS.71).aspx
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