How do I unit test persistence?

Look into DB Unit. It is a Java library, but there must be a C# equivalent. It lets you prepare the database with a set of data so that you know what is in the database, then you can interface with DB Unit to see what is in the database. It can run against many database systems, so you can use your actual database setup, or use something else, like HSQL in Java (a Java database implementation with an in memory option).

If you want to test that your code is using the database properly (which you most likely should be doing), then this is the way to go to isolate each test and ensure the database has expected data prepared.

You do the unit testing by mocking out the database connection. This way, you can build scenarios where specific queries in the flow of a method call succeed or fail. I usually build my mock expectations so that the actual query text is ignored, because I really want to test the fault tolerance of the method and how it handles itself -- the specifics of the SQL are irrelevant to that end.

Obviously this means your test won't actually verify that the method works, because the SQL may be wrong. This is where integration tests kick in. For that, I expect someone else will have a more thorough answer, as I'm just beginning to get to grips with those myself.

As Mike Stone said, DbUnit is great for getting the database into a known state before running your tests. When your tests are finished, DbUnit can put the database back into the state it was in before you ran the tests.

DbUnit (Java)

DbUnit.NET