Please suggest some Rapid Desktop Applications Development tool for Linux whose output can be run easily on Windows. It should support some local disk based embedded database like SQLite or HSQL.
Qt + Qt Creator, maybe?
It's a reasonable C++ IDE, with a built-in UI designer. Applications developed using Qt are generally portable between Windows, Mac OS X and Linux with nothing more than a recompile, since Qt abstracts most of the platform-specific stuff. Qt's database layer supports SQLite, among others.
Once upon a time a company called Borland spent a lot of resources developing a product called Kylix. It was a Linux version of Delphi, designed for RAD. It wasn't quite "switch the target and rebuild for Linux or Windows," though. Sales were poor, and the product was discontinued. Quality and pricing issues aside, my personal opinion is that this failure hurt the Linux platform by discouraging commercial development (implying that Linux developers were unwilling to pay for tools).
In the present day, you may want to look at MonoDevelop.
If you want to rapidly build a GUI - and have Linux-Windows compatibility of data, why don't you consider intellij community edition.
It has a built-in swing GUI designer, and since you're dealing with Java, you can run your app in both Linux and Windows.
Intellij now has a community edition: http://www.jetbrains.com/idea/free_java_ide.html