You actually have a broad choice of RDBMSs, but it does depend what OS Platforms are available where you deploy your production CFMX Site.
Filemaker is not fully SQL-Compliant, and like MS-Access was not designed to be a multi-user online production database.
MySQL, presently does not run well on windows systems.
You will, likely, want to run the same (or similar) RDBMS on your Mac OS X Development system.
For Windows platforms (for the RDBMS server) MS-SQL-Server is most prevalent, PostgreSQL, Sybase and Oracle are also popular..
For Linux platforms (for the RDBMS server) you have MySQL, PostgreSQL, Sybase and Oracle.
In between the Open Source (free) MySQL and PostgreSQL and the high-end (Sybase, Oracle) there are quite a few proprietary packages of at many different prices. These include: PointBase Embedded, PointBase Server, OpenBase, FrontBase, etc,
Of all all of the above, only MS-Access and MS-SQL-Server do not have versions which will run on your Mac OS X Developer system (interfaced with CFMX).
Part 4 of the series will discuss MySQL, which is a good place to start.
The poll at the end of Part 4 will include all of the above except MS-SQL-Server. So you can choose which RDBMSs are covered in later articles.