I am experiencing a crash frequently when using SQLyog 4.05. It happens when running a query that returns enough columns so that you have to scroll right to see them all. If you leave it scrolled all the way to the right and then run another query that returns only a few columns such that no horizontal scrollbar is required, the crash will happen. Sometimes it crashes right away, sometimes not until you click on the screen to try to scroll back to the left, but it almost always eventually crashes.
Note that I can't reproduce this behavior on the Table Data tab (clicking on a table in the tree, then selecting the Table Data tab). It is only on the Result tab. I am running SQLyog 4.05 on WinXP Pro SP2 at 1024X768.