I just upgraded to WP 2.9 from a MySQL 4.0X database. I use GoDaddy so here’s what I did. It took about 15 minutes.
1. Back your WordPress directory AND your MySQL database. (search for how to do this or use a plugin). Do not delete anything!
2. Login to your GoDaddy account and on the left side menu bar under My Products click on Hosting -> Manage Account (for blog host account) -> Databases -> MySQL.
3. Create a new database and make sure you select MySQL Version 5.0. Write down your password!!!
4. Once the database has been configured, click on the pencil to the right to view the details.
5. Using FTP, retrieve your wp-config.php from the root directory of your WP installation. Using the information from step 4, update this file with the new database information.
6. Upload the new wp-config.php to your WP root directory.
7. Login in to your new 5.0 database and import the file created when you backed your database in step 1.
8. Go to your blog and it should load fine. Now you can log in to your blog and run the upgrade to WP 2.9.
Hope this helps for those using GoDaddy as your hosting service provider.