If you saw the “Failed to build gem native extension” error while building native mysql gem then you need to install libmysql++-dev package.
$ sudo gem install mysql
[sudo] password for milosz:
Fetching: mysql-2.8.1.gem (100%)
Building native extensions. This could take a while...
ERROR: Error installing mysql:
ERROR: Failed to build gem native extension.
[...]
$ sudo apt-get install libmysql++-dev
$ sudo gem install mysql
Building native extensions. This could take a while...
Successfully installed mysql-2.8.1
1 gem installed
Installing ri documentation for mysql-2.8.1...
Installing RDoc documentation for mysql-2.8.1...