I know there are many who disagree with me, but for me it helps to have a goal to focus on. That goal will give you something to focus and guide your self-training and may suggest what resources you should focus on.

When I was first learning SQL (personally I work with SQL Server, but you mentioned MySql in your question) I committed myself to earning the MCDBA. Then when I had the goal of the certification, I had an official curriculum to follow and an external measuring stick to rate my performance and learning.

Another, similar, technique is to find a project you would like to complete using SQL (or make one up if you have to) and start working on it. The project goals will help keep you focused and help point you to what resources you should look at.

And finally, if you just want reference material to start with, I would suggest everything by Joe Celko including SQL for Smarties and all the articles (most of them on this site) by Jeff Moden.