I just got this working yesterday.

First, I connected to my shell account like this:
ssh -L8888:mydbhost.mydomain.com:3306 myshelluser@mydomain.com

Then I connected to their server like this:
mysql -u mydbuser -p -h 127.0.0.1 -P 8888

These parameters also worked using a GUI frontend (CocoaMySQL beta for MacOS X). You have to use 127.0.0.1 instead of 'localhost' or the server will refuse to let you in.

I hope this helps!