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One of the new features in MySQL 4.0 is the ability to change most of MySQL server settings on the fly without restarting the server.
You can just use SET variable=new_value as described in chapter
5.5.6 SET Syntax of manual.
As an example you might wish play with buffers setting to see how they affect particular query.
With MySQL 3.23 you need to change value in my.cnf and then restart mysqld and typically only administrator can do it. And everything depending on mysqld can be affected by this restart.
With MySQL 4.0 you don't need anything more than your regular privileges.
Why? Because of one more addition - variables now are split into two categories. Global and Session variables. Global variables affect working of whole server while Session variables changes are valid for current session only.
Hint: For optimizations purposes you can run 4 connections with different settings and execute same query simultaneously 4 times doing real-time test without disturbing anyone with 4 restarts.
Appropriate changes were made to SHOW VARIABLES syntax by adding GLOBAL|SESSION directive to it as described in chapter 4.5.6.4 SHOW VARIABLES of Manual.