Jade,
as far as I know this is not a new 'feature' of emacs 21.2. The culprit is the " after 'set my_query". Having opened a string emacs will not indent the next line as that TAB would introduce a tab character in the string. If that is what you want you should type C-q TAB.
If it doesn't matter if there is a tab in the string, as is the case for SQL queries you could use { instead of ". Emacs then indents as you expected.
/Bart
