Databases on Linux range from trivial to very easy. Of course I'm talking about Postgres (my db of choice), SQLite, and, ahem MySQL. I've no informations on Oracle, I should try it one of these days. If you have to develop with MS SQL (one of the best MS products out there), of course you may want to use Windows.
MySQL can be installed really easily on Linux/fBSD and all. It's a matter of aptgetting/rpming. You can also install that way all the bindings for different languages (beware, most are GPL, if you want to develop closed source apps, take this into account).
On Windows there is a beautifully crafted package. Double click and go.
On MacOS there is a .pkg that installs everything, even a PreferencePane to start and stop MySQL. There is also a StartupItem. Well, it works quite good (a part from suboptimal performance).
On Linux same old story. Apt-get. Language bindings as above.
On MacOS X it's already installed. It's also the basis for CoreData. Ruby bindings are easily installed. I haven't tried Python ones (but should be a matter of compiling a python package) nor Perl. I don't use PHP at all (well, not if I can avoid).
I've not tried directly with Windows. However I see there are some precompiled that should just work fine.
This is my favourite database. Installing on linux is as easy as any other db. On MacOS I found no "pretty installer" a-la MySQL. You have to configure a bit of permissions and users. Not difficult, but more difficult than on GNU/Linux. Again, for FreeBSD applies what I told for linux.