I have 2 tables (A and B) with the same primary keys. I want to select all row that are in A and not in B. The following works:
select * from A where not exi
Joins are generally faster (in MySQL), but you should also consider your indexing scheme if you find that it's still moving slowly. Generally, any field setup as a foreign key (using INNODB) will already have an index set. If you're using MYISAM, make sure that any columns in the ON statement are indexed, and consider also adding any columns in the WHERE clause to the end of the index, to make it a covering index. This allows the engine to have access to all the data needed in the index, removing the need to make a second round-trip back to the original data. Keep in mind that this will impact the speed of inserts/updates/deletes, but can significantly increase the speed of the query.