MariaDB 5.3 and up and MySQL 5.6 RC introduced real support for milliseconds:
https://kb.askmonty.org/en/microseconds-in-mariadb/
http://dev.mysql.com/doc/refman/5.6/en/fractional-seconds.html

HeidiSQL now lets you define a LENGTH/SET value for data types which allow a microsecond precision (0-6, where 0 is the default). Also, when editing such TIME, TIMESTAMP or DATETIME values in a grid, HeidiSQL lets you press arrow up/down to increase/decrease the microseconds part of the underlying value. Thanks to rjgebis for the report and documentation links.