SOQL does not natively support comments as SQL does. However, in Apex code, you can comment out embedded SOQL queries. You might also want to evaluate alternative tools to increase the efficiency of query management. Real Force Explorer, Brain Engine, Workbench, or JitterBit Data Loader tools provide much more functionality in terms of executing queries and working with data than what Flash-based Force.com Explorer or Eclipse IDE offer. Although direct comments within SOQL are not enabled, these tools will make the process of testing and debugging queries much simpler. You can create comments by keeping your queries external to some text editor or IDE, and before running it into Salesforce, manage it over there.