It depends on what you're planning to do. If you want to have the database directly embedded in your application, without any external server, you may consider the option of using SQLite (
http://www.sqlite.org/[
^]). You can deploy one preconfigured database file with your application.
If your intention is to carry in oyur application the initial configuration for the database then it depends on the database server. In this case you could make a backup that generates the scripts for reproducing the database so you're able to execute it on the new installation at first run or during installation.