The database structure is most likely to be a dependency of many parts of your code, and schema changes will have cascading effects. Kind of like making changes to the interface in a class which many classes extend. So be cautious about schema changes.
Agile methodology is no different than other methodologies in that it's to your benefit to design the database up front as much as possible, and you should seek to change it less frequently than the code. Not to say you can never change it, but it is costly to do so.
Migrations are a simple but effective tool for tracking schema changes, as others have noted. The concept being scripts of CREATE and ALTER statements to upgrade from one revision of the schema to the next, accompanied by scripts of ALTER and DROP statements to downgrade the same changes. Ruby on Rails uses a database abstraction layer on top of this to make it easier to switch brands of database, but if you only need to support one brand you could simply use SQL files.
There's a highly-regarded book on this subject (though I haven't gotten around to buying or reading it yet) called "Refactoring Databases: Evolutionary Database Design" by Scott Ambler