If you’re using a MySQL installation on a Windows machine: beware. A worm is spreading via UDF that is targeting Windows machines with MySQL running.
The bulletin from MySQL AB, including and detection and removal instructions, can be found here.
Fortunately, detection and removal is very simple, though to prevent future infection, users will have to use firewall software or other configurations to ensure that port 3306 is blocked for now. Of course, such a measure will cause problems if you would like to manage the MySQL server remotely, or if your machine is a dedicated MySQL server that other web and application clients connect to. As long as your system runs the web server and MySQL locally, however, blocking port 3306 shouldn’t be a big deal.
Also, Unix and Linux installations of MySQL do not appear to be susceptible at this time.