How can I do a contiguous group by in MySQL?

Use:

   SELECT MIN(t.id) 'mi', 
          t.val, 
          COUNT(*)
     FROM (SELECT x.id, 
                 x.val, 
                 CASE 
                   WHEN xt.val IS NULL OR xt.val != x.val THEN 
                     @rownum := @rownum+1 
                   ELSE 
                     @rownum 
                 END AS grp
            FROM TABLE x
            JOIN (SELECT @rownum := 0) r
       LEFT JOIN (SELECT t.id +1 'id',
                         t.val
                    FROM TABLE t) xt ON xt.id = x.id) t
 GROUP BY t.val, t.grp
 ORDER BY mi

The key here was to create an artificial value that would allow for grouping.

Previously, corrected Guffa's answer:

   SELECT t.id, t.val
     FROM TABLE t
LEFT JOIN TABLE t2 on t2.id + 1 = t.id
    WHERE t2.val IS NULL 
       OR t.val <> t2.val