If you are ok with hosting it on localhost, I'd recommend SQLite. There is a complete C# port or .NET wrappers for SQLite. Embedding the database into the .exe / anywhere localhost is going to increase the download size significantly.
If you don't want your database stolen, you can't store it locally, bottom line. If security is a huge concern, I'd recommend hosting your database somewhere (mySQL).
Personally if I was building a complete item database I'd use MySQL with phpMyAdmin.
My two cents.