In ColdFusion MX you can customize the debugging output by editing or adding files to the wwwroot/WEB-INF/debug directory. I modified the dockable.cfm file so the window with debugging information would not pop up automatically by commenting out line 229. You can also add your own file to the directory and it will show up in the CF administrator as a debugging type.

Nathan adds the following:

I modified the classic debugger a while ago to cfdump the queries. It's proven to be a great addition to my arsenal. Here's how: classic.cfm, line 438, after the line with cfdebug_queries.body, add this:

<cfif CFDEBUG_QUERIES.result[currentrow].recordcount LT 500>
   <cfdump var="#CFDEBUG_QUERIES.result[currentrow]#" label="Results For  #cfdebug_queries.name#" />
<cfelse>
   Too many results to print
</cfif>

I moved this from the comments section to the post because its much easier to read here.