I don't know how to do this for the MySQL client, but a very useful trick for your the PostgreSQL client is to turn autocommit off, which basically turns your session into a transaction that you have to manually commit before closing the client. So if you do a "DELETE FROM important_data WHERE condition_that_is_always_true" or something and it says "Removed 9001 rows" you can just ROLLBACK and your data is still save.
Oracle works this way, too. I fact I don't believe there is any such ridiculous feature as "autocommit" in Oracle, that is only something that might happen in a client application. Closest thing I can think of is that sql*plus will perform a commit upon normal exit.
