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It depends on which version of each. MySQL before v5 didn't allow stored procedures. I think it still doesn't have indexed views. Common installations are free, although some of the engines are as pricey as SQL 2005 standard edition. The Microsoft version tends to be a bit more featured: in v9 you can write stored procedures in C++ or VB, there are great ranking and pivot/unpivot functions built into the T-SQL language, graphical execution plans ... nice stuff. I don't know how MySQL does with XML natively?
If you use MySQL, you should use 5.x and procs. In that case, for the basics, they aren't all that different.
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