At first i was using phpmyadmin to manage my mysql database. When told that using that is not good for security then i remove it.

I have Navicat MySQL software and it supports connect mysql database via SSH tunnel. Here is my setting in Navicat:
http://grab.by/gEBg

However, i still cannot connect to my Linode's mysql. I keep getting this error when i Test Connection:
http://grab.by/gEBm

FYI, connecting via SSH in terminal is not a problem. Its ok. I already secure my server using this guide:
http://library.linode.com/securing-your-server

Does securing the server using that guide cause the Navicat software cannot work?

It appears that you are not supplying appropriate credentials to access MySQL.

The contents of the "General" tab on the "New Connection" dialog box should look something like this:
Hostname/IP address: localhost
Port: 3306
Username: your MySQL username
Password: your MySQL password

Owh...i thought the General is not needed because i am using SSH, so i just click SSH tab. It works now. Thanks!