For my setup this is what I ended up doing. Hopefully this solution will help someone else, regardless of my setup details...
1) I turned on query logging in my my.ini
file (I'm using Windows / WAMP):
[mysqld]
log = "C:\wamp\logs\queries.log"
2) I needed to tell PDO to emulate prepared statements (I'm using Laravel 4.1):
// Before you run the query...
$pdo = DB::connection()->getPdo();
$pdo->setAttribute(\PDO::ATTR_EMULATE_PREPARES , true);
// run query here...
// and then die, so it's the last query ran
die();
3) Keep the queries.log file open in notepad++ and just reload the file when prompted by notepad++. Copy & paste the last query into phpmyadmin. Now I can debug the query!
I'll probably later have to come up with a more automated approach, but this seems to work for now.