Ruby threw a fit and dumped this message:

$ sudo gem install mysql
Building native extensions.  This could take a while...
ERROR:  Error installing mysql:
ERROR: Failed to build gem native extension.

Gem files will remain installed in /Library/Ruby/Gems/1.8/gems/mysql-2.8.1 for inspection.
Results logged to /Library/Ruby/Gems/1.8/gems/mysql-2.8.1/ext/mysql_api/gem_make.out

After some google-fu, I found out that when installing the mysql gem on OS X, you need to point it to where your mysql_config file is placed. Below is the complete guide on how to how to install the mysql gem on Snow Leopard.

• Download your preferred MYSQL version from the community download site. If you’re on Snow Leopard, you may want to install the 64-bit version.
• Install mysql via dmg or compile it from source.
• Type ‘which mysql_config’ on the terminal to locate said config. Take note of this location as we’ll use it on the next step.
• Install the mysql gem with the command below. If the location for your mysql config is different with the one below, use that instead.

   sudo env ARCHFLAGS="-Os -arch x86_64 -fno-common" gem install mysql -- --with-mysql-config=/usr/local/mysql/bin/mysql_config
  

  Note that if you’re using the 32-bit version, you have to use:

   sudo env ARCHFLAGS="-Os -arch i386 -fno-common" gem install mysql -- --with-mysql-config=/usr/local/mysql/bin/mysql_config
  

• And success!

  $  sudo env ARCHFLAGS="-Os -arch x86_64 -fno-common" gem install mysql -- --with-mysql-config=/usr/local/mysql/bin/mysql_config
  Building native extensions.  This could take a while...
  Successfully installed mysql-2.8.1
  1 gem installed
  Installing ri documentation for mysql-2.8.1...
  ...
  

If you are having problems, or have any suggestions, please post a comment.