You will have code completion in SQLyog Enterprise – and syntax highlightning is there also in COMMUNITY.
I think this question is related to this one:
http://www.webyog.com/forums//index.php?showtopic=3588
A full-featured IDE (like Microsoft Visual Studio, Delphi, misc. JAVA IDE tools etc.) I simply do not think is possible with MySQL. In the MySQL world there is a tradition to code in applications (PHP, C for instance) what you with SQL server, Oracle would most often use SP's, Triggers etc. for. Neither the server itself nor the client API supports IDE functionalities for stored programs.