This is rather a complimentary answer to the other answers provided by other posters. The major issue with the approach you are requesting is how do you enter the data from a practical point of view. If you are going to be doing SQL inserts you might as well be writing TeX macros.
INSERT INTO "people" VALUES('Jose das Couves','jose@couves.com');
INSERT INTO "people" VALUES('Manoel Joaquim','manoel.joaquim@cafundo.com');
INSERT INTO "people" VALUES('Maria das Dores','maria@dores.com');
can be more difficult than:
\R people,Jose das Couves,jose@couves.com;
\R people,Manoel Joaquim,manoel.joaquim@cafundo.com;
\R people,Maria das Dores,maria@dores.com;
Another very promising approach is to create your own special markup with the interpreter, package which I consider as one of the current developments that might edge (la)TeX in a better direction.
If your records are as simple as that, you can use an approach as described in http://tex.stackexchange.com/a/19761/963, it can be less typing work, your records will survive for another thirty years and will not be depended on any other technology other than (La)TeX. The entries will also be edited in your favorite editor.
If the records are more complicated the TeX approach might be more involved, cumbersome and error prone. In this case your proposed method has an advantage.
I would start with getting some GUI tools to make the entry of the records easier. In http://stackoverflow.com/questions/3332250/windows-gui-tool-for-sqlite3 there are links to quite a few of them (I tried 2-3) and so far Lita seems like a good tool. Personally I would opt for a slightly different GUI and even Database tool. I would rather use MySQL and a browser.
Installation can be as easy as installing WAMP and MySQL and you can have a great interface going in a few minutes for creating a Relational Database. WAMP comes prepackaged with phpMyAdmin and sqlbuddy. The latter is less mature but currently my tool of choice. Similar tools exist for Python, Ruby, Perl and possibly Lua via the Kepler project.
I have tried hard to get sqlite3 and wxLua to work together with pdfLuaLaTeX and although I haven't given up yet, I haven't managed to achieve it. I have narrowed down the issue though and is probably path settings via kpathsea. If you do get them right please let us know your installation steps.
There is also the issue of exporting the data back to LuaLaTeX and the format to be used.
My own experience so far is that for most typesetting type of problems the database schema is not relational and you better off with either a purely TeX solution or an XML type of solution (aka look at ConTeXt). For simple relational databases the webfront solution works very well; I have got one that does letters, stores metadata for the correspondence, picks up addresses etc. and exports LaTeX.
For simpler structured data (such as exports from lab experiments), simple CSV solutions with pgfplotstable and other CSV LaTeX tools are to be preferred.
LuaTeX, I strongly recommend you install the latest TeXLive 2011. – Martin Schröder Mar 15 '12 at 23:22:-)– Martin Schröder Mar 16 '12 at 18:20