Issue a FLUSH TABLES WITH READ LOCK
statement before you start to dump, see http://dev.mysql.com/doc/refman/5.0/en/lock-tables.html for more information.
From the sited link:
MySQL enables client sessions to acquire table locks explicitly for the purpose of cooperating with other sessions for access to tables, or to prevent other sessions from modifying tables during periods when a session requires exclusive access to them. A session can acquire or release locks only for itself. One session cannot acquire locks for another session or release locks held by another session.