The foreign_key_checks variable is replicated as of MySQL 4.0.14. The sql_mode, unique_checks, sql_auto_is_null, and storage_engine (also known as table_type) variables are not replicated in MySQL 4.1 or earlier.

Session variables are not replicated properly when used in statements that update tables. For example, the following sequence of statements will not insert the same data on the master and the slave:

SET max_join_size=1000;
INSERT INTO mytable VALUES(@@max_join_size);

Update statements that refer to user-defined variables (that is, variables of the form @var_name) are badly replicated in 3.23 and 4.0. This is fixed in 4.1.

It is strongly recommended that you always use the same setting for the lower_case_table_names system variable on both master and slave. In particular, when a case-sensitive filesystem is used, and this variable set to 1 on the slave, but to a different value on the master, names of databases are not converted to lowercase, which can cause replication to fail. This is a known issue, which is fixed in MySQL 5.6.