I've tried using SQLyog with mySQL 4.1.0-alpha but I get an error 1249 'Client does not support authentication protocol requested by the server. Consider upgrading the mySQL client'.
Is there something I'm missing or does SQLyog just not work with 4.1.0 yet?
SQLyog does work with MySql 4.1, but not perfectly since 4.1 implements a new binary protocol. If you don't use passwords then it is capable of connecting to the server (delete existing passwords). The new version of SQLyog is promised to be compatible with 4.1. Perhaps you could volunteer to beta test it…