The following are just minor things that would make using the program easier, at least for me.
When opening a new connection, the select tab is the last one that was in use, not the one just opened. It would be less confusing, and make more sense, if the one that was just opened was the active one.
Regarding the tabs, it would be nice to have them color coded to make seeing the active one more quickly.
I have a file manager program and when copying files, the icon in the tackbar shows a progress indicator (Windows 7 only). It would be nice to have this feature SQLYog since it visually signals when a task is done. Many times it wouldn't matter but I deal a lot with large databasees and it can take a little time for them to complete.