A major advantage of using MySQL to store your data is that you can access it easily from other third-party applications.
For example, you could send your scores over to a MySQL database, or you can store your players and world/server information in a MySQL database.
Then, you could make a website which uses this information and displays it: you can access the profiles of players in your game and it would display their current level, guilds they are a part of, their overall appearance, how much time has passed since they joined the game, if they are currently logged in, etc.
You can even use this to make a "private messaging" feature that works both in the game as well as on the website.
You must use the hub://Dantom.DB library to use MySQL. MySQL works on both Windows and Linux, but both require a modification before they can be used: on Windows you need to have "libmysql.dll" in your system32 folder, and on Linux you need to have libmysqlclient installed.