And in most cases it'll be quick enough.
But I have exeprience recently on much larger datasets -- always over a million and often upwards of 10 Million -- and the truth is, 2 queries is better.
I didn't read the SQL closely enough but most cases of subquery (whether in the select, from or where clauses) is to do in 1 query what really takes 2. So assuming that applies here, yeah, if you've got large datasets, doing several simple queries is better than fewer complex queries.
The MySQL query optimizer is just not there. It's not game-day ready the way Oracle and MSSQL is.
select e., u., l.*
from entry e, user u, location l
where e.location in (select l2.from location l2 where (l2.lat between x1 and x2) and (l2.lng between y1 and y2)) and e.user = u.id
order by e.id desc
Where's the join condition for the Location table in the outer query ? Furthermore, what the heck does this mean:
select l2.from location
It looks like it's missing a column name, or a * wildcard.
I was pretty surprised by the results, though. Even our lowly product ElevateDB can handle optimizing correlated sub-queries like this pretty easily, and effectively treating them just like an inner join. I suspect that the query was specified incorrectly, although I guess it's certainly possible that MySQL is very bad at optimizing correlated sub-queries.
Spoon-feeding trivial queries to MySQL is just wrong on so many levels.