for development with c# and integration with Visual Studio, your best bet is to download MSDE (or thats what it was formerly called).
Depending on your Visual Studio installation, you may already have SQL Express installed, that is ok. This gives you a nice gui to manage multiple databases and it's the same interface (with less features) of Sql Server 2005. Once you download this, there are many sample applications and sample databases that you can install and play with.
Here is the link to download SQL Server 2005 Express:
Here is the link for the sample databases and applications to install:
I love this stuff, if you have any questions about ADO.NET, just ask.