I have to say lack of transactions (don't touch it if you need consistency and reliability), lack of sub selects (damn useful) and lack of foreign key support. The mysql.com documentation section has a list of the key features they are missing from what I gather is 'standard' DB/SQL.
What you might find is that mysql is the lowest common denominator among databases. If you are interested in portability it'll probably be one of the db's that make you use less slick code/queries.
It does a damn fine job at the large class of problems and uses that don't require things like transactions though.