Nested SQL

Been trying to optimise some SQL queries for the artauction this morning. There are some queries that use 2 SQL statements at the moment, and i can’t reduce them to one due to nested queries not supported in MySQL 4.0… so for simple query like returning a record from a table which has the max value in one of its columns i need to do 2 SQL queries, one to get the max the other to get the row which has that max value. Is there a performance issue doing it this way or is it just messier?