I'm currently running a mysql db on my empeg. Queries over small tables are very fast.
The php version I provide to download a the moment has mysql support compiled in. But it's useless if you don't have a mysql server running. :-)

Other services running on my empeg: Apache 1.3.26, PHP4, dyndns Client, Webmin, ...

The hole system has only 16MB of RAM and a bunch of swap space (256MB I think). So I'm very surprised that it is working at all.