tienes que recorrer todo el resultset
Código PHP:
$query = mysql_query("SELECT * FROM noticias ORDER BY id DESC LIMIT 5");
$tag="";
while ($tagi = mysql_fetch_array($query))
$tag.= $tagi['tag'].",";
$tags = explode(",",$tag,-1);
foreach($tags as $tag)
echo "<a href='buscar.php?tag=".$tag.">".$tag."</a>";