Print the actual query MySQLdb runs?

You can print the last executed query with the cursor attribute _last_executed:

try:
    cursor.execute(sql, (arg1, arg2))
    connection.commit()
except:
    print(cursor._last_executed)
    raise

Currently, there is a discussion how to get this as a real feature in pymysql (see pymysql issue #330: Add mogrify to Cursor, which returns the exact string to be executed; pymysql should be used instead of MySQLdb)

edit: I didn't test it by now, but this commit indicates that the following code might work:

cursor.mogrify(sql, (arg1, arg2))

We found an attribute on the cursor object called cursor._last_executed that holds the last query string to run even when an exception occurs. This was easier and better for us in production than using profiling all the time or MySQL query logging as both of those have a performance impact and involve more code or more correlating separate log files, etc.

Hate to answer my own question but this is working better for us.