Jack Wallen explains how to add data into a MySQL table from the command line.

This TOTD ( T ip O f T he D ay) shows how to create a Persistence Unit (PU) for a MySQL database using NetBeans IDE. This PU can then be used in any of Java EE artifacts (JSP, Servlet, EJB ...

In MySQL it's about 4 seconds vs. about 1.5 minutes. I believe MySQL is creating a temporary table with the entire contents of the subquery where as SQL Server's optimizer is doing something smarter.