This has bugged me for the last 5 years of daily use. MySQL has built in help tables (in most installs). SQLyog has help support for SQLyog, but no help function for MySQL. If you use the MySQL help, you get the first line displayed, and if you want to read the rest of the documentation, you have to cut and paste into something like Notepad++ (or whatever your favorite GPL real text editor is).
Wouldn't it be handy to be able to search the MySQL help, using the SQLyog “help” and get the syntax and examples nicely laid out for you? Pretty handy with those seldom used functions, etc.