The XData Toolkit is an XML/XSLT transformation engine and Database Toolkit that uses many sources including MySQL, XML, RSS Feeds and Web Services.
Even though I could setup a datasource fairly easily (in this case a MySQL DB) XData did not actually connect to that. Instead it connected to the WordPress DB. Even when connecting to the WordPress DB it would not accept any SELECT query.
Waste of my patient hour.
This is a great plugin that has enabled rich content on my site from an external data source.
It is extremely powerful and allows you to configure multiple data sources, converting them to XML, and allowing you to format the output using XSLT for your blog.
I found the developer extremely helpful in assisting me with an issue (that I had brought upon myself). This was beyond the call of duty as an optional support subscription is normally required.
If you are not familiar with connecting to MYSQL and using XML/XSLT to transform the data there is plenty of info to be found online, including XData's own comprehensive documentation and video walkthroughs.