Silverlight applications run on the client in your browser. So you have to create a connection to your database on your server. WCF services is the easiest way to make this connection.
It is however possible to use sockets to connect to your server, for example see this presentation about sockets using Silverlight
http://www.silverlight.net/learn/videos/all/using-sockets/
It is also possible to use the webclient class directly to connect to an website or REST services.
Hope this helps.
Regards,
Patrick