Ugly, but helpfull!

route.php

function q($query) {
	echo "<pre>";
	$q = str_replace("#__", JFactory::getConfig()->get('dbprefix'), (string) $query);
	var_dump($q);
	echo "</pre>";
}

Don't reinvent the wheel, Janich:

function q($query) {
$db = JFactory::getDbo();
echo "

";

var_dump(JFactory::getDbo()->replacePrefix($query));

echo "

";
}

You can also use JLog instead of var_dump (neater) or turn on Debug System (it logs all queries going through JDatabaseDriver, additionally showing them in the debug module).

If you don't mind the prefix remaining, I always just echo (string) $query;

I guess it wasn't really about the method, but about having an easy way to echo out a query with the correct prefixes while developing.

Heh, yeah, it probably is bit overkill. Larger/complex queries should probably be kept in a SQL editor until 'ready' ;)

It's still on my TODO to check out the Joomla extension J!Dump, so I can't say how handy it is, but it looks promising:
http://extensions.joomla.org/extensions/miscellaneous/development/1509

I also use var_dump. If you view the source you don't need to add the pre tags, but the pre tags are indeed necessarily if you want to view it in readable html format.