Short version: when creating your FK column, it helps to have the column definition of the FK match the column definition. In retrospec, this seems like a no-brainer but was the heart of my problem.

So, you want create a FK to an existing table. Lets start by creating our table.

CREATE TABLE IF NOT EXISTS Role(
Id INT(11) UNSIGNED NOT NULL AUTO_INCREMENT,
Name VARCHAR(255) NOT NULL UNIQUE,
Description TEXT DEFAULT NULL,
PRIMARY KEY(Id)
);

Pretend we pooped data into it and now it's a big pain in the ass to do a drop/create with how we want things.

First we add our column that will be the Foreign Key.

ALTER TABLE Role ADD COLUMN Parent int(11) UNSIGNED DEFAULT NULL;

Next we add an index. Why? because mysql says so and FKs rely on indexes

ALTER TABLE Role ADD INDEX Parent (Parent);

Now we add our constraint.

ALTER TABLE `Role` ADD CONSTRAINT `Parent` FOREIGN KEY(`Parent`) REFERENCES `Role`(`Id`) ON DELETE SET NULL ON UPDATE SET NULL;

For fun, do

ALTER TABLE Role ADD COLUMN Parent int(11) DEFAULT NULL;

for the first step. Everything will look awesome until you get to the the last step. You'll get a wonderful "Errno 150" error and spend a bunch of time googling various key words trying to figure out what went wrong. Well, at least I did.