There are two places I'm hoping this is possible:
First, in the Views UI - in D6/Views 2, there used to be a preview of the actual SQL code that was going to run. It wasn't always 100% accurate, but it was a start. Is that no longer available anywhere?
Second, I'm using hook_views_query_alter(), and I'd really like to print somewhere (screen, error log, whatever) the query that's being run based on the alterations. I've tried dpm($query), but that gives me the whole krumo tree - all I want is the query - i.e. "select x, y from z where a = 2".