I voted up Dave's answer since I thought he did a good job.
I'd like to add however that there are also several different tools designed for ColdFusion that can simplify a lot of the common SQL tasks you're likely to perform. There's a very light-weight tool called DataMgr written by Steve Bryant, as well as Transfer from Mark Mandel, Reactor which was originally created by Doug Hughes and one I developed called DataFaucet. Each of these has its own strengths and weaknesses. Personally I think you're apt to consider DataFaucet to be the one that will give you the best ability to stay in cfscript, with a variety of syntaxes for building different kinds of queries.
Here are a few examples:
qry = datasource.select_avg_price_as_avgprice_from_products(); (requires CF8)
qry = datasource.select("avg(price) as avgprice","products");
qry = datasource.getSelect("avg(price) as avgprice","products").filter("categoryid",url.categoryid).execute();
qry = datasource.getSelect(table="products",orderby="productname").filter("categoryid",url.categoryid).execute();
The framework ensures that cfqueryparam is always used with these filter statements to prevent sql-injection attacks, and there are similar syntaxes for insert, update and delete statements. (There are a couple of simple rules to avoid sql-injection.)