Well, I spent a fruitless afternoon fiddling with SQLite 3.0.4, 3.0.5 and the Finisar SQLite ADO.NET provider. The provider works great for SQLite 3.0.X but there are serious issues with getting it to work ON the Compact Framework due to the marshaling deficiencies with C-style DLLs in CF.
Bottom line is, even though the provider has a .NETCF solution and test app, they'll compile fine - but they will always throw a System.MissingMethodException on the sqlite_open call.
This, after downloading the C source and recompiling my own SQLite3.dll library, to no avail!
Finally, a look at the Sqlite WinCE site shows the proof: "SQLite 3XXX has serious issues!"
Yeah, so does SQLite 2.8 too, if you want a 100% CF - based DBMS solution.