Remember that you aren't testing whether your database works.
If you are using a database from one of the top vendors (or even the second and third tiers) you can guarantee that they have tested that a SQL statement will read or write.
You probably want to test a number of things:
- Did I get my connection properties right?
- Do the columns returned by my SQL statement match my data structure?
Some of these can be addressed by mocking frameworks (as described by another poster). Some of these might be setup as integration tests that run independently of unit tests. Some of these can be tested using an in-memory database.
I've used HSQLDB in the past to create an inmemory database, pre-populate with data and then run my unit tests. In memory databases are orders of magnitude quicker than a traditional database, you don't have to worry about setting up transactions to clean them up etc.