You can enable the build-in tracing, which you can configure like this (the value being the log level threshold):
<system.diagnostics>
<switches>
<add name="SqlServerDQE" value="3" />
<add name="AccessDQE" value="4" />
<add name="OracleDQE" value="4" />
<add name="FirebirdDQE" value="4" />
<add name="MySqlDQE" value="4" />
<add name="DB2DQE" value="4" />
<add name="PostgreSqlDQE" value="4" />
<add name="SybaseAsaDQE" value="4" />
<add name="SybaseAseDQE" value="4" />
<add name="ORMGeneral" value="0" />
<add name="ORMStateManagement" value="0" />
<add name="ORMPersistenceExecution" value="3" />
<add name="LinqExpressionHandler" value="3" />
</switches>
</system.diagnostics>
I can also recommend getting a profiler if you're doing a lot of development/debugging:
http://www.ormprofiler.com/ (by Frans Bouma)
http://llblgenprof.com/ (by Ayende)