After all my wailing and nashing of teeth last week about SQL mobile not performing well, and our other CE database engine options looking limited, we've now found a possible alternative.
VistaDb is a fully managed database engine, with SQL parser, transactioning, triggers, stored procedures etc. Best of all, version 3 (currently available as a CTP if you're prepared to pay) is supposed to be both compact framework and Mono compatible.
Unfortunately finding a CE database engine has fallen down our priority list so we're not about to fork out for the CTP at this point, but we have VistaDb scheduled as our first stop when we get back to this problem.
We've looked at VistaDb once before, for use in another project for keeping a small database on each client. We didn't want to have to install and manage SQL Express, so we considered VistaDb which has worked quite well in our prototypes. Unfortunately at the time we only have version 2.0 available and that wasn't compact framework compatible so we kinda forgot about it until now. We also haven't done any intensive analysis or performance testing on it, but it has worked well enough so far that we're hopeful it will solve our CE problem.