I was looking for an answer to this too. It turns out there is a pretty nifty way to view the EF-generated SQL, if you don't mind dipping into the somewhat-sketchy world of reflection.
A very resourceful poster on the MSDN forums wrote a set of extension methods that let you dump the SQL output of an ObjectContext (i.e. the stuff that will get executed when you call SaveChanges()).
You can find the link here - look for the post by g_yordanov containing the CustomExtensions class.
I have been testing this out over the past little while and it seems to do the trick quite nicely. The one catch is that I had to make the fix suggested by David Cater in that thread - changing the Dictionary<long, object> to a Dictionary<int, object>.