Web2py binary distributions (for windows and mac) come packaged with python 2.5 which includes SQLIte3.
For legal reasons we do not distribute the drivers for MySQL, PostgreSQL, MSSQL, FireBird, DB2 and Oracle. In order to use these databases you need to run web2py from source, i.e.:
moreover in your model you need to substitute the connection string
with (for MySQL)
or (for PostgreSQL)
or (for Oracle)
All those database backends in web2py support automatic transactions (for mysql we use InnoDB): commit on return, rollback on exception.
For a serious, scalable, production quality, modern database back-end we recommend PostgreSQL. That's what we run and we have stress-tested it quite extensively.