I think SQLyog is a great product. There are just two things I would add to it to make it a little more user friendly.
1.) It would be very convenient to show all connection to different MySQL servers in the same window. Like Enterprise Manager does with SQL Server Databases.
2.) Also, when managing relationships if SQLyog could give the exact problem (if there is one) when creating pk/fk relationships and fixing them if possible (ie. automatically adding an index to a column if there is not one).
These too features would make SQLyog outstanding!