I would like to build an application where I can easily download various GIS data to create my own maps.

What's the best way in? I'm very familiar with programming, graphics and GIS, but I wonder what's the best platform to begin with. Do you have any experience with MapBox? They seem to provide all kind of GIS-related map services / data and APIs but I'm a bit lost in their big range of products.

Among other things they have an SDK for Unity. Would this be the best way in, or do they have any other library/framework I could use directly from my own Visual Studio project (C# or Java)?

I just want to use it locally on my Windows desktop, for myself (so I think MapBox services are free in this context). The type of data I'm looking for is mainly vector data, and possibly height-maps.

Thanks in advance.