I know Microsoft Access is a brilliant database tool, but how do you go about deploying your application you have built using an SQL database ? If you are looking for an excellent and FREE SQL database you can distribute with your program, why not go look at H2 Database ?
It is an excellent SQL database engine, easy to embed in your Java application and can be used for a single user or even in a Client/Server environment. So even if you create a single user application, you have the option of making it a multi-user application later while being assured that you can retrieve and reuse your existing data. As H2 is written entirely in Java, it will work on any platform that your program will work on!
Go ahead, give H2 a try, I'm sure you will not regret it!