I've seen it's possible to make a connection between Mathematica and MySQL databases using Input Needs["DatabaseLink"] and conn = OpenSQLConnection[JDBC["MySQL(Connector/J)", "yourserver/yourdatabase"], "Username" -> "yourusername", "Password" -> "yourpassword"] (in case anyone wants to give it a try). Documentation of DatabaseLink here, by the way.
Does anyone have experience using Mathematica in this way, probably to analyze data contained in the database? Are there obvious drawbacks (speed, memory needed, etc.)?