Go with SQLite if you can get away with it. It's a library, not an external engine, and databases are stored inside normal files, which makes a lot of things easier if you're building a standalone app (as opposed to server-side software).

SQL is well worth its time to learn. It's a good DSL for relational data. Most programming languages used for regular code are not very convenient with relational data. As for its security issues, this is actually simple - one has to respect SQL as a real programming language with its own syntax and grammar, instead of resorting to idiocies like gluing strings together in an ad-hoc manner.