What options in /etc/mysql/my.cnf are applicable to percona-server-client-5.6? I installed percona-server-client-5.6 on Ubuntu; there is no mysql server installed on that same machine.

In /etc/mysql/, the only file is my.cnf. That file contains many sections of options and I am not sure which sections are applicable to the machine with only the client package installed.

I assume the [client] section of course, but why to the other sections exist at all? Will changing their values affect the mysql server the client connects to?

my.cnf:

[client]
...

[mysqld_safe]
...

[mysqld]
...

[mysqldump]
...

[mysql]
...

[isamchk]
...
Those other sections are there because they are included in the template cnf file from the package provider (Percona).

You can create a user specific cnf file in your home dir that looks like the one below and they will get used when you run the mysql command:

[client]
user=$myusername
password=$mypassword


n.b. if you're going to store your credentials in a cnf file make sure you  set the permissions to 400.