SQL is no database, it's a language. MySQL is a database. And it depends on your needs (and financial situation) whether the one or the other is better.
I've used both and would say Oracle is better for really big systems - and I believe more secure and robust. SQL Server has a GU Interface, so it is easier to set up a new DB in and also to administer, but the DB itself is not as powerful. The difference in power mainly only shows up when you get into huge systems. For programming, Oracle is easier to create stored procedures (that work within the DB so you save lots of time and resources by pushing the maximum of processing inside it) in - because Oracle has a full-fledged programming language for its stored procedures, whereas SQL Server has a much simpler (and for me frustrating after I got used to Oracle's) language and development tools, as well as debugging facility. Then there is MySQL with (I think) some GUI tools from third parties to manage it. The DB itself is far cheaper than either Oracle or SQL Server, open source with low-cost commercial license and free for personal or (maybe?) nonprofit or educational use (check those facts if it matters). Hope this helps! Bruce