If you haven't seen it yet, check Rob Walters' articles on how to embed SQL Express into your application's installation. (http://msdn2.microsoft.com/en-us/library/bb264562.aspx)

This article covers the basics about the acceptable command line parameters for SQL Express setup, discusses how to create a wrapper class to detect, enumerate and install a SQL Express Instances and explores the the use of Visual Studio 2005's ClickOnce technology for the deployment of SQL Express.