Select the table, select the “Info tab” – all fields are shown – hold Ctrl-Alt and left-click-drag over the field names to mark them (will be in “column” mode). Right-click marked area and copy.
Works well if pasted into an editor that will trim trailing spaces.
This works on Ubuntu with SQLyog running in Wine 1.3. YMMV
but still not very handy. On windows column select works with ALT-LMB drag. Funny this works only in Text/Detailed mode and not in HTML mode ;o)
In MySQL Front you could select field names in Object Browser just like files in Windows Explorer using Shift or Ctrl + LMB and then copy -> when pasting you got selected fields comma-seperated in one single line.