SQL: selecting rows where column value changed from previous row

Use rownum

I've got 0.05 seconds on 20000 rows

select a1.*
  from (select rownum R_NUM, TIMESTAMP, System, StatusA from TableX) a1 
  join (select rownum R_NUM, TIMESTAMP, SYSTEM, STATUSA from TABLEX) a2 
    on a1.R_NUM = a2.R_NUM+1 
 where a1.system = a2.system 
   and a1.StatusA != a2.StatusA

SELECT a.*
FROM tableX AS a
WHERE a.StatusA <>
      ( SELECT b.StatusA
        FROM tableX AS b
        WHERE a.System = b.System
          AND a.Timestamp > b.Timestamp
        ORDER BY b.Timestamp DESC
        LIMIT 1
      ) 

But you can try this as well (with an index on (System,Timestamp):

SELECT System, Timestamp, StatusA, StatusB
FROM
  ( SELECT (@statusPre <> statusA AND @systemPre=System) AS statusChanged
         , System, Timestamp, StatusA, StatusB
         , @statusPre := StatusA
         , @systemPre := System
    FROM tableX
       , (SELECT @statusPre:=NULL, @systemPre:=NULL) AS d
    ORDER BY System
           , Timestamp
  ) AS good
WHERE statusChanged ;