From http://stackoverflow.com/questions/14238215/how-to-optimize-my-query-exporting-wordpress-posts-with-category-and-tag-list?rq=1

new_gist_file_0

SELECT

post_name,
post_content,

Categories, 
Tags 

FROM

-- posts
    wp_posts as p

-- categories
    LEFT JOIN 
        (SELECT 
            object_id as cat_obj_id, 
            GROUP_CONCAT(cat_term.name) as Categories

        FROM
            wp_term_relationships AS cat_r 
            JOIN wp_term_taxonomy AS cat_tax 
                ON cat_r.term_taxonomy_id = cat_tax.term_taxonomy_id
            JOIN wp_terms AS cat_term 
                ON cat_tax.term_id = cat_term.term_id

        WHERE cat_tax.taxonomy="category"
        GROUP by object_id) 
    as c

    ON p.id = c.cat_obj_id

-- tags
    LEFT JOIN
        (SELECT 
            object_id as tag_obj_id, 
            GROUP_CONCAT(tag_term.name) as Tags

        FROM
            wp_term_relationships AS tag_r 
            JOIN wp_term_taxonomy AS tag_tax 
                ON tag_r.term_taxonomy_id = tag_tax.term_taxonomy_id
            JOIN wp_terms AS tag_term 
                ON tag_tax.term_id = tag_term.term_id

        WHERE tag_tax.taxonomy="post_tag"
        GROUP by object_id) 
    as t

    ON p.id = t.tag_obj_id