Databases
Before you go and implement a database you should first understand what a database can help to achieve, this will ensure that you're not burning time unnecessarily deploying things you don't need.
Why use databases​
Databases are used for centralised storage with unrestricted limitations to read, write new data and modify existing data. Storing data in a database can also be efficient, decreases time for looking up data that you can export into another application / format without significant difficulty.
When to use a database​
In a Minecraft environment you're most likely going to come across databases in a 'Network' environment e.g. when you're using a tool such as 'Velocity', or 'Bungee', this will allow you to share information between your backend servers and have one consistent dataset e.g. economy balances, synced ranks and permissions etc just to name a few examples. If you're running a server with a hosting provider they too will most likely give you the ability to create databases for your plugin data as this gives them greater availability and performance at scale.
If you're looking to deploy your own Private SQL instance, it's recommended to follow this tutorial from the Digital Ocean community forums that covers installation, configuration and securing your instance