I run mysql 4.0 series rpms from mysql on my centos boxes. I've added them to my local yum repository, and have yet had to recompile other rpms for that reason. Install MySQL-shared-compat instead of MySQL-shared, as the compat package contains all the new libraries, as well as previous versions, for backward compatability.
The MySQL official rpms are not exactly the same as Centos or RedHats, so you'll need to check out /etc/my.cnf, ensure log rotation, and that kind of thing. I've also been told, but have no basis for comparison, that the official MySQL rpms are some considerable faster.
All that being said, AFAIK, you'll have to recompile various RPMS if you want 4.x functionality like ssl connections, provided that the package in question supports the feature that you're after.
Hope this helps,
Jacob Leaver C-Corp.net