What is the difference between MySQL, MySQLi and PDO?

There are (more than) three popular ways to use MySQL from PHP:

1. (DEPRECATED) The mysql functions are procedural and use manual escaping.
2. MySQLi is a replacement for the mysql functions, with object-oriented and procedural versions. It has support for prepared statements.
3. PDO (PHP Data Objects) is a general database abstraction layer with support for MySQL among many other databases. It provides prepared statements, and significant flexibility in how data is returned.

I would recommend using PDO with prepared statements. It is a well-designed API and will let you more easily move to another database (including any that supports ODBC) if necessary.