Interfaces between scilab and:
GLPK (a real scilab interface not an interface which relies on mex); LPSOLVE (a real scilab interface not an interface which relies on mex); Coin-OR Clp + Cbc + IPOpt + Bonmin + Symphony. With such an interface, you can deal efficiently with huge problem (each library works with sparse matrix) and, with the Coin-Or library, you can reach the same level of performances as with a linear programming commercial tool.
For the CoinOR part:
CLP: is a C++ library dedicated to solve huge linear programs. Was before 2004 released as a commercial tool by IBM. This tool was named OSL. CBC: is a C++ library dedicated to solve huge mixed integer linear programs. IPopt: is a C++ library dedicated to solve non linear constrained optimization problems NLP). Bonmin: is a C++ library dedicated to solve non linear mixed integer constrained optimization problems (MINLP). Symphony: is a C/C++ library dedicated to solve mixed integer bicriteria linear programs. This library supports OpenMP (so it works efficiently under multicores) and PVM (and work nicely under parallel architectures). The parallel things are only supported on linux box. For windows, it's just a mater of having or not a visual express edition. The OpenMP library is not shipped with the visual express edition.
With the scicoinor toolbox, you can read / write easily MPS and LP files.
You can read some news related to the development of the tools. The changes to come are here too.
If you need some advices on how to compile the coin-or tools under linux, have a look at this page.
The list of NL files shipped with the AMPL toolbox.
The list of MPS files shipped with the CoinOR toolbox.
The MySqlToolbox page show you how to create a demo database so as to test this toolbox.