Direct connection. It's a virtual server with multiple databases. Server runs Apache with PHP, MySQL, etc., on FreeBSD. It's also with a good hosting company and we have pretty much unfettered root access.
Seems that connection with SQLyog client on my PC “times out” in 5 minutes or so on no activity. There is no on-screen indication (that I can find) that the connection has dropped; however, if I change to a different table or do a refresh or anything, there is a long hourglass pause (the client here is running on WinXP), so I try really hard to remember and do a file | Disconnect, then File | Connect and that is MUCH, MUCH faster than forgetting, finding the connection has dropped etc.
It's really frustrating for me and I find that I am using SQLyog less for those ever-so-convenient quick checks of data, or field configuration, or testing a query I'm about to use in PHP code or whatever.
/s/ John