You can suggest it here:
It's actually ranked quite highly (#10, I believe), but since it's not exactly a trivial feature to implement, there would probably have to be quite a bit of demand before they decide it's worthwhile.
Other discussion here:
I myself am currently working on something that would be twice as easy on a database that supported triggers and stored procedures. The more experience I get with database development, the more I realise how limited MySQL actually is. Views and referential integrity would be great, too. All Database 101-level material. Hopefully MySQL 5.0 will be available soon, as that's supposed to have most of these features.