Update: MySQL 8.0 is finally getting the feature of common table expressions, including recursive CTEs.
Here's a blog announcing it: http://mysqlserverteam.com/mysql-8-0-labs-recursive-common-table-expressions-in-mysql-ctes/
Below is my earlier answer, which I originally wrote in 2008.
MySQL 5.x does not support queries using the WITH
syntax defined in SQL-99, also called Common Table Expressions.
This has been a feature request for MySQL since January 2006: http://bugs.mysql.com/bug.php?id=16244
Other RDBMS products that support common table expressions: