SQL Fiddle is what most people use if I remember correctly.
If you want to go all the way though, SQL Server Express is free and allows you to keep databases permanently.
A good learning experience for me was to take one of the free SQL courses on Coursera/eDx that go over SQL using the Lahman Database fyi. The Lahman Database is basically a database of baseball stats so if you are into sports/baseball, it makes learning SQL a lot more fun.
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