You can either spell it out S-Q-L or pronouce it like See - QueL (equal, but beginning with an S).
Joe Sam Shirah adds:
IBM was the pioneer in this area and their first go was called Structured English Query Language and pronounced "Sequel". The later version, which led to today's SQL standard, was trimmed to Structured Query Language and technically pronounced Ess-Que- Ell; that is, pronounce the letters individually.
In primarily the PC world, it became the vogue to pronounce it "sequel" and those in the know often received snickers for saying Ess-Que-Ell. In today's world, either pronounciation should be correctly understood as a "you say tom-A-to and I say tom-AH-toe" thing. For some products, when in Rome..., so MS' and Sybase's SQL Server products are always pronounced "sequel server".