I just found "Has anyone published a detailed comparison between different in-memory RDBMSs?" that is related to my question.
TimesTen (see also) is a In-Memory Database from oracle.
It has a lot going for it including.
However it is priced out of the reach of most people ($41,500.00 / Processor).
So what alternatives are there, and what are there pros and cons.
(I am using .NET if it changes your answer)
A popular in-memory database system is McObject's eXtremeDB, see
http://www.mcobject.com/extremedbfamily.shtml
There is also a good white paper, offered for download from the home page of McObject's Web site, called, "In-Memory Database Systems: Myths and Facts". It clarifies some questions that arise when discussing the technology, such as, "how is an IMDS different from a 'traditional' database running on a RAM disk?"