Why increase it? If you get a network glitch, the connection will be dropped.
Are you coming from Perl/PHP? If so, there are ways to keep a connection alive. If you are comming from the mysql command-line program, the latest versions seem to reconnect automatically, so the wait_timeout is not really an issue.
Note: There are two wait_timeout values -- one for programs, one for 'interactive' usage. The default is 8 hours for the interactive one; the programatic one may (should?) be less.
On my 5.1, I see:
mysql> select @@session.wait_timeout;
+------------------------+
| @@session.wait_timeout |
+------------------------+
| 28800 |
+------------------------+
1 row in set (0.00 sec)
mysql> set @@session.wait_timeout = 11111;
Query OK, 0 rows affected (0.00 sec)
mysql> set @@global.wait_timeout = 22222;
Query OK, 0 rows affected (0.00 sec)
mysql> select @@wait_timeout;
+----------------+
| @@wait_timeout |
+----------------+
| 11111 |
+----------------+
1 row in set (0.00 sec)
mysql> show variables like '%timeout';
+----------------------------+-------+
| Variable_name | Value |
+----------------------------+-------+
| connect_timeout | 10 |
| delayed_insert_timeout | 300 |
| innodb_lock_wait_timeout | 50 |
| innodb_rollback_on_timeout | OFF |
| interactive_timeout | 28800 |
| net_read_timeout | 30 |
| net_write_timeout | 60 |
| slave_net_timeout | 3600 |
| table_lock_wait_timeout | 50 |
| wait_timeout | 11111 |
+----------------------------+-------+
10 rows in set (0.01 sec)
Confused? You're not alone.