Dublish.com has this post from a little while back with some good tips on how to squeeze the most out of your MySQL and PHP scripts with some simple, handy tips.

The MySQL list includes things like:

• MySQL is interpreted from right to left so you should put the most significant limiters as far to the right as possible.
• Use indexes on the columns in the WHERE clause and on the columns you want to ORDER BY.
• Sometimes mysql_free_result() end up wasting more memory than it saves. Check the difference with memory_get_usage().
• Use NOT NULL as default value as much as you can, it speeds up execution and saves one bit.

And the PHP list includes:

• When echoing strings it's faster to separate them by comma instead of dot.
• Unset your variables to free memory, especially large arrays.
• Many code blocks might slow down the interpretation a little bit.

There's also all sorts of other tips down in the comments as well.