Have to say, while MDB2 has the more straightforward way of accessing multiple databases (just create more database objects using MDB2::factory()), drupal’s way of doing things is a long way from horrible.
To initialise:
$db_url['default'] = 'mysql://drupal:drupal@localhost/drupal';
$db_url['mydb'] = 'mysql://user:pwd@localhost/anotherdb';
$db_url['db3'] = 'mysql://user:pwd@localhost/yetanotherdb';
$db_url['mydb'] = 'mysql://user:pwd@localhost/anotherdb';
$db_url['db3'] = 'mysql://user:pwd@localhost/yetanotherdb';
And then to use:
db_set_active('mydb');
db_query('SELECT * FROM table_in_anotherdb');
//Switch back to the default connection when finished.
db_set_active('default');
db_query('SELECT * FROM table_in_anotherdb');
//Switch back to the default connection when finished.
db_set_active('default');
Quite straightfoward looking. Now to see if it actually works! 
And of course it does, but there are some caveats – you should call db_set_active(‘default’) immediately on finishing your db_query() call or calls, as a few drupal functions access things in the main database and calling l() can cause all manner of fun errors if you’ve not switched back yet.
Feb 6, 2008 @ 18:45
Hi,
Is it possible to allow drupal to access different databases? One MySQL and one postgreSQL?
May 12, 2009 @ 03:13
I don’t see why not, just use the DSN to specify one as a mysql:// database and the other as a postgres:// database.
May 13, 2009 @ 14:01
Hi,
It states here http://drupal.org/node/18429
This only works with two databases of the same type. For example the following code will not work.
Are you proposing a different process?
May 13, 2009 @ 16:36
No, my error, I missed that caveat.
May 13, 2009 @ 16:42