When I execute some longer-running queries, the UI often doesn't update, and all of that instance of SQLyog is locked (can't copy queries from other tabs, or view other tabs, and obscured portions of the UI don't repaint for some time).
A lot of the tools used by other people I work with tie the query execution to the tab the query resides, such that you could operate the UI, switch tabs, and execute multiple queries in one instance of SQLyog, but no more than one per tab.