"Microsoft SQL Server Profiler is a graphical user interface to SQL Trace for monitoring an instance of the Database Engine or Analysis Services."
I find using SQL Server Profiler extremely useful during development, testing and when I am debugging database application problems. Does anybody know if there is an equivalent program for MySql?
Something cool that is in version 5.0.37 of the community server is MySQL's new profiler.
This may give you what info you are looking for.
Are you wanting to monitor performance, or just see which queries are executing? If the latter, you can configure MySQL to log all queries it's given. On a RedHat Linux box, you might add
log = /var/lib/mysql/query.log
to the [mysqld] section of /etc/my.cnf before restarting MySQL.
Remember that in a busy database scenario, those logs can grow quite large.
Using Neor Profiler SQL, is excellent! and the application is free for all users. https://www.profilesql.com/download/ 
Jet Profiler is good if it's a paid version. The LogMonitor just point it to the mysql log file.
If version 5.0.37 isn't available, you might want to look at mytop. It simply outputs the current status of the server, but allows you to run EXPLAIN as (mentioned by mercutio) on particular queries.
I don't know about any profiling apps as such, but it's commonplace to use the EXPLAIN syntax for analysing queries. You can use these to figure out the best indexes to create, or you can try changing the overall query and see how it changes the efficiency, etc.
