The older versions used to have a database plugin(like 2.05), but I noticed on new versions of Wordpress(2.1) it is no longer available with the package. I found a database plugin called WP-DB Manger 2.11 for wordpress versions 2.1 and above.

With this plugin you can manage your Wordpress database conveniently. It allows you to optimize database, repair database, backup database, restore database, delete backup database, drop/empty tables and run selected queries. Supports automatic scheduling of backing up and optimizing of database.

You can download it here