Client Side Profiler
Create a client side profiler that will log running queries and statistics for the various data contexts. Also provide helpful tips to improve performance if applicable. Similar to what NHProf already does for NHibernate.
Raja Venkatesh commented
You can use LInQ to Entity Visualizer to view the Lambda, generated SQL, modify the parameters, view DB connection properties, change the connection provider and test the generated SQL etc. This Visualizer is addon to VS2010 available free from http://visualstudiogallery.msdn.microsoft.com/99468ece-689b-481c-868c-19e00e0a4e69. Let me know if you are not able to get it working.
M. Holmgren commented
Try EFProfiler - http://efprof.com/