Good pattern for creating test contexts. From http://iamnotmyself.com/2011/12/18/test-driven-evolutionary-design-with-entity-framework/

TestDataContextFactory.cs

using System;
using System.Data.Common;
using System.Data.Entity.Migrations;
using TestingEntityFramework.Core.Extensions;
using TestingEntityFramework.Data;
using TestingEntityFramework.Data.Migrations;

namespace TestingEntityFramework.Tests.Helpers
{
    public class TestDataContextFactory
    {
        private const string ConnectionString = "Data Source={0}.sdf";
        private const string ProviderName = "System.Data.SqlServerCe.4.0";

        public static DataContext Build()
        {
            var databaseName = DateTime.Now.Ticks.ToString();
            StandUpTestDatabase(databaseName);
            return CreateDataContext(databaseName);
        }

        private static DataContext CreateDataContext(string databaseName)
        {
            var connection = DbProviderFactories.GetFactory(ProviderName).CreateConnection();
            connection.ConnectionString = ConnectionString.FormatWith(databaseName);
            return new DataContext(connection);
        }

        private static void StandUpTestDatabase(string databaseName)
        {
            var config = new Configuration
                             {
                                 ConnectionString = ConnectionString.FormatWith(databaseName),
                                 ConnectionProviderName = ProviderName,
                                 AutomaticMigrationsEnabled = true
                             };

            new DbMigrator(config).Update();
        }
    }
}

UserPersistenceTests.cs

using NUnit.Framework;
using TestingEntityFramework.Core;
using TestingEntityFramework.Data;
using TestingEntityFramework.Tests.Helpers;

namespace TestingEntityFramework.Tests
{
    [TestFixture]
    public class UserPersistenceTests
    {

        private DataContext context;

        [SetUp]
        public void SetUp()
        {
            context = TestDataContextFactory.Build();
        }

        [Test]
        public void can_persist_user()
        {
            var user = new User { Id = -1, FirstName = "Dirk", LastName = "Diggler", Email = "[email protected]"};

            context.Users.Add(user);
            context.SaveChanges();

            Assert.That(user.Id, Is.EqualTo(1));
        }
    }
}