http://dev.mysql.com/doc/refman/4.1/en/mysql-config-wizard-file-location.html
The Location of the my.ini File
In MySQL installations prior to version 4.1.5 it was customary to name the server configuration file my.cnf or my.ini and locate the file either at c:\my.cnf or c:\Windows\my.ini.
The new MySQL Configuration Wizard places the my.ini file in the installation directory of the MySQL server. This helps associate configuration files with particular server instances.
To ensure that the MySQL server knows where to look for the my.ini file, an argument similar to this is passed to the MySQL server as part of the service installation:
--defaults-file="C:\Program Files\MySQL\MySQL Server 4.1\my.ini"
Here, C:\Program Files\MySQL\MySQL Server 4.1 is replaced with the installation path to the MySQL Server. The --defaults-file option instructs the MySQL server to read the specified file for configuration options when it starts.
Others:
http://www.electrictoolbox.com/mysql-my-cnf/
CentOS 5 / RHEL 5
For Red Hat Enterprise Linux 5, CentOS 5 and other derived Linux distributions:
/etc/my.cnf
Debian 5 Lenny
For Debian 5 Lenny and other derived Linux distros including Ubuntu:
/etc/mysql/my.cnf
MAMP 1.9 on OSX 10.6
Regular MAMP doesn't have one by default (although apparantly MAMP Pro does) but you can either create one yourself at, or copy one of the my-*.cnf files from /Applications/MAMP/Library/share/mysql as:
/Applications/MAMP/Library/my.cnf
MAMP 2.0 on OSX 10.7
As above, and the location is:
/Applications/MAMP/conf/my.cnf