Mysql comes with a default configuration that does works on most machines. If you have a machine with more RAM you can improve mysql performance considerably. You may want to do this if you have a bulletin board that uses mysql.

Detailed how to:
http://www.mysql.com/doc/en/Option_files.html gives the basic information.

Quick and dirty method:
Edit /etc/my.cnf and add the following lines. ?? is the size of the mysql buffer. I'm currently using keybuffer=60M . This allocates 60 Megabytes RAM to the Mysql buffer. Dont make it too big or you will run out of RAM/swapspace. You need to restart mysql for this to take effect.

[mysqld]
set-variable = key_buffer=??M