I've tried running valgrind 3.6 with the mysql 5.1 server.
I've compiled the source code with a plain no-options configure and installed it on my fully updated MacOSX 10.6.
I've then tried running mysqld binary under valgrind and I've got : 
--93979-- WARNING: unhandled syscall: unix:330
--93979-- You may be able to write your own handler.
--93979-- Read the file README_MISSING_SYSCALL_OR_IOCTL.
--93979-- Nevertheless we consider this a bug.  Please report
--93979-- it at http://valgrind.org/support/bug_reports.html.

I've then tried the --db-attach=yes valgrind option to see what the error is and I've got : 
==93983== Thread 2:
==93983== Conditional jump or move depends on uninitialised value(s)
==93983==    at 0x100110224: signal_hand (in /Users/kgeorge/mysql/work/test-vg-5.1-bugteam/sql/mysqld)
==93983==    by 0x100DAC535: _pthread_start (in /usr/lib/libSystem.B.dylib)
==93983==    by 0x100DAC3E8: thread_start (in /usr/lib/libSystem.B.dylib)
==93983== 
==93983== 
==93983== ---- Attach to debugger ? --- [Return/N/n/Y/y/C/c] ---- y

valgrind: m_debugger.c:243 (ptrace_setregs): Assertion 'Unimplemented functionality' failed.