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We use SQLYog in work. My collegue tried HeidiSQL, but prefered the Yog at the end of it all. Hands down, one of the best SQL GUI's out there. Heidi is a very good contender though!
We used both of these on web based MySQL servers on a daily basis. Depending on the nature of the query, and how much data it had to bring back, and the physical speed of your connection to the SQL server, depends on how long a query takes. Though smaller queries are neither here nor there really.
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