While reading the SQLyog manual front to back recently, I thought I'd put together a SQLyog tutorial summarizing the things that seem important to me. It's a work in progress, so please feel free to send constructive feedback.
For the “curious” crowd, near the bottom, there's a comparison of SQLyog and HeidiSQL… I tried to do it with an open mind, but if I had to use a free product instead of SQLyog Ultimate, I'd still go with SQLyog Community Edition. Heidi did seem to do a better job than SQLyog in at least one area, though: keyboard shortcuts.