With all the discussion going on about MySQL Proxy, we may forget that there are alternatives.
Today in the MySQL Dev Zone there is an article about a different proxy. It's more than that, actually. It is a Perl Module implementing the MySQL client/server protocol.
With this tool, you can emulate some of MySQL Proxy features, and you can do something more. For example, you can use Federated tables with non-MySQL database servers. The article features an example where a table from SQLite and a table from PostgreSQL are queried as if they were normal MySQL tables.