It really depends on what you're storing. If you're talking about structured data, then either XML or a very lightweight SQL RDBMS like SQLite or SQL Server Compact Edition will work well for you. The SQL solution becomes especially compelling if the data moves beyond a trivial size.
If you're storing large pieces of relatively unstructured data (binary objects like images, for example) then obviously neither a database nor XML solution are appropriate, but given your question I'm guessing it's more of the former than the latter.