Windows: WAMP
Linux: LAMP
Win, Linux, Mac, Solaris: XAMPP, AppServ

If you're a newbie or you want to install MySQL by hand it could take hours, luckily we have these SQL tools to help us. Here's a good one that I use from time to time:

MAMP-www.mamp.info (It's a FREE Mac only PHP, SQL & Apache Installer)