How can I get the SQL from a query object in ColdFusion?

Use the result attribute of cfquery. Specify a variable name and that will have a key called sql with your sql.

<cfquery name="tableElements" datasource="TestSQLServer" result="r">
SELECT * FROM tableElements
</cfquery>

<cfdump var="#tableElements#" /> <!--- Shows object having "SQL" property --->
<cfoutput>SQL: #r.SQL#</cfoutput>

Personally I like to have some SQL that has all the parameters inserted into it (rather than the ? question marks). This way I can just copy and paste the SQL to run a query on the database. To do this, I get a result (as mentioned in other comments), then use this function...

<cffunction name="getRealSQL" returntype="string">
    <cfargument name="qryResult" type="any">
    <cfset realSQL = arguments.qryResult.sql>
    <cfloop array="#arguments.qryResult.sqlParameters#" index="a">
        <cfscript>
            if (NOT isNumeric(a)) a = "'#a#'";
            realSQL = Replace(realSQL, "?", a);
        </cfscript>
    </cfloop>
    <cfreturn realSQL>
</cffunction>

Add a 'result' attribute to your cfquery. The SQL is in the result struct, not the query variable.