Just get the official MySQL binaries from mysql.com, they come in a .dmg file, that has two installer packages, one with the server and one with a startup item that automatically starts the server every time you start your computer. Install both packages and restart your computer and you're away.
You should fix the root password for MySQL, it's empty from the start, but that's pretty simple (section 2.4.3 in the online manual).
Watch out when you choose versions: 4.1 and beyond needs a different login procedure than 4.0, and PHP doesn't cope with that to well. In version 5 of PHP there is a new library called mysqli, but I haven't gotten that to work on my installs (though others have). Check out the forums at
www.entropy.ch, where you can also get the latest binaries for PHP 5.
My recommendation: use MySQL 4.0 and the built-in version of PHP, and the Apache server you already have. If you really need to do sub-selects you might want o try MySQL 4.1, but remember the warning above...
To get the built-in version of PHP working you need to change two lines in /etc/httpd/httpd.conf. One in the "LoadModule" section and one in the "AddModule" section. The lines that need changing are the ones mentioning ".php". Just remove the hash mark at the beginning of each and turn web sharing off and on again. That's it.
Get "YourSQL" from
http://www.mludi.net to fiddle with databases, and "HyperEdit" from
http://www.tumultco.com/HyperEdit/ to mess around with PHP. It'll straighten your learning curve, since you get live preview of what your php code is doing. IF you want to spend some cash, get Navicat from
http://www.navicat.com, then you can do all your db-administration from there. A lot easier than phpmyadmin (which sucks) or webmin (that doesn't suck, and also lets you control both the Apache server and MySQL in the same interface).