The download size: SQL CE < Sqlite < LocalDB < SQL Express. After installed size: Sqlite < SQL CE < LocalDB < SQL Express. Max size supported: SQL CE 4GB, LocalDB and SQL Express 10GB, Sqlite supports up to 140TB
LocalDB can be embedded with Application, but LocalDB and SQL Express can not.
SQL CE and Sqlite are single file, but LocalDB and SQL Express are not. SQL CE and Sqlite do not support LINQ.
SQLite is not from Microsoft. It is open source and support other OS but not only Windows. It is also can be used on Mobile phones.
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