When testing out SQL scripts, it would be nice if LINQPad could create a temporary database for me, and drop it after execution. For instance, if I pick the SQLite database provider, a new SQLite file would just be created in the temp folder on the machine, my SQL executed against it, and the file deleted (or simply left for normal cleanup).

This would work wonders for experimentation for things like Stack Overflow answers and similar, since I then normally want to start from scratch and include all tables and data in the script itself, rather than work with an existing table/database.