I like Jesus Ramos answer, but I needed support for output parameters.  (I also used a string builder to generate the content.)
Declare Parameter for output parameters
 foreach (SqlParameter p in arrParams.Where(x => x.Direction == ParameterDirection.Output || x.Direction == ParameterDirection.InputOutput))
    {
        // todo : I only needed a couple of types supported, you could add addition types
        string dbtype = string.Empty;
        switch (p.DbType)
        {
            case DbType.Guid:
                dbtype = "uniqueidentifier";
                break;
            case DbType.Int16:
            case DbType.Int64:
            case DbType.Int32:
                dbtype = "int";
                break;
            case DbType.String:
                dbtype = "varchar(max)";
                break;
        }
        query.Append(string.Format(" Declare {0}_ {1}\n", p.ParameterName, dbtype));
    }
Build Main Parameter Area
foreach (SqlParameter p in arrParams)
    {
        bool isLast = p == last;
        string value = p.Value.ToString();
        if (quotedParameterTypes.Contains(p.DbType))
            value = "'" + value + "'";
        if (p.Direction == ParameterDirection.InputOutput || p.Direction == ParameterDirection.Output)
        {
            query.Append(string.Format("{0} = {0}_ out{2}\n", p.ParameterName, value, isLast ? "" : ","));
        }
        else
        {
            query.Append(string.Format("{0} = {1}{2}\n", p.ParameterName, value, isLast ? "" : ","));
        }
    }
List Output Parameter results
foreach (SqlParameter p in arrParams.Where(x => x.Direction == ParameterDirection.Output || x.Direction == ParameterDirection.InputOutput))
    {
        query.Append(string.Format(" select {0}_ {1}\n", p.ParameterName, p.ParameterName.Substring(1)));
    }
Full Code:
        public static string GetProcedureDebugInformation(SqlCommand cmd, [System.Runtime.CompilerServices.CallerMemberName] string caller = null, [System.Runtime.CompilerServices.CallerFilePath] string filePath = null, [System.Runtime.CompilerServices.CallerLineNumber] int? lineNumber = null)
    {
        // Collection of parameters that should use quotes
        DbType[] quotedParameterTypes = new DbType[] {
            DbType.AnsiString, DbType.Date,
            DbType.DateTime, DbType.Guid, DbType.String,
            DbType.AnsiStringFixedLength, DbType.StringFixedLength
        };
        // String builder to contain generated string
        StringBuilder query = new StringBuilder();
        // Build some debugging information using free compiler information
        query.Append(filePath != null ? filePath : ""
        + (lineNumber.HasValue ? lineNumber.Value.ToString() : "")
        + (lineNumber.HasValue || !string.IsNullOrWhiteSpace(filePath) ? "\n\n" : ""));
        query.Append("\n\n");
        var arrParams = new SqlParameter[cmd.Parameters.Count];
        cmd.Parameters.CopyTo(arrParams, 0);
        // Declare Parameter for output parameters
        foreach (SqlParameter p in arrParams.Where(x => x.Direction == ParameterDirection.Output || x.Direction == ParameterDirection.InputOutput))
        {
            // todo : I only needed a couple of types supported, you could add addition types
            string dbtype = string.Empty;
            switch (p.DbType)
            {
                case DbType.Guid:
                    dbtype = "uniqueidentifier";
                    break;
                case DbType.Int16:
                case DbType.Int64:
                case DbType.Int32:
                    dbtype = "int";
                    break;
                case DbType.String:
                    dbtype = "varchar(max)";
                    break;
            }
            query.Append(string.Format(" Declare {0}_ {1}\n", p.ParameterName, dbtype));
        }
        // Set Exec Text
        query.Append(string.Format("\n exec {0}\n", cmd.CommandText));
        var last = arrParams.LastOrDefault();
        //Build Main Parameter Area
        foreach (SqlParameter p in arrParams.OrderByDescending(p => p.ParameterName.Length))
        {
            bool isLast = p == last;
            string value = p.Value.ToString();
            if (quotedParameterTypes.Contains(p.DbType))
                value = "'" + value + "'";
            if (p.Direction == ParameterDirection.InputOutput || p.Direction == ParameterDirection.Output)
            {
                query.Append(string.Format("{0} = {0}_ out{2}\n", p.ParameterName, value, isLast ? "" : ","));
            }
            else
            {
                query.Append(string.Format("{0} = {1}{2}\n", p.ParameterName, value, isLast ? "" : ","));
            }
        }
        // List Output Parameter results
        foreach (SqlParameter p in arrParams.Where(x => x.Direction == ParameterDirection.Output || x.Direction == ParameterDirection.InputOutput))
        {
            query.Append(string.Format(" select {0}_ {1}\n", p.ParameterName, p.ParameterName.Substring(1)));
        }
        return query.ToString();
    }