You can download Ensembl’s MySQL databases in one go from
ftp://ftp.ensembl.org/pub/current_mysql. Here is a Perl script to import them all into a MySQL database based on http://www.ensembl.org/info/docs/webcode/install/ensembl-data.html.
WARNING: THIS SCRIPT DROPS THE DATABASES IT CREATES BEFORE INSTALLING. Read the script before running it. If it does something unintended, it's your own fault.
1) Running the script to test what it will import:
2) Running the import:
Here it is: