Turns out that when I rebooted my computer, mySQL wasn't starting again! The directory wasn't there anymore! Because I don't want to have to create the directory and start mySQL by hand each time the computer restart, here's what I did:
sudo gvim /etc/init.d/mysql
Just after the 'start') string I added the following content:
'start')
# Create directory in /var/run
if [ ! -d "/var/run/mysqld" ]; then
mkdir /var/run/mysqld
chown mysql.mysql /var/run/mysqld
fi
# All done