I have spent the last two days trying to find a code highlighter that actually works with CKEditor and WordPress.  I've found Crayon Syntax, and it almost works the way I want.  And frankly, that's close enough.

To make it work,

1. Install it (duh)
2. Configure it to use its "fallback" (ie default) language as PgSQL
3. Whenever you want to highlight some code, select it and mark it as "Formatted"

Behold how your SQL code is marvellously highlighted, eg:

USE [master]
GO
CREATE LOGIN [eviladmin] WITH PASSWORD=N'test', DEFAULT_DATABASE=[master], CHECK_EXPIRATION=OFF, CHECK_POLICY=OFF
GO
EXEC master..sp_addsrvrolemember @loginame = N'eviladmin', @rolename = N'sysadmin'
GO

I say it "almost" works because it does break when the SQL code includes characters that aren't strictly SQL.  For example, this command:

"exec xp_cmdshell "echo USE [master] > c:\sqlcommands.txt""

gets mangled because of the greater than sign, into:

exec xp_cmdshell "echo USE [master] > c:\sqlcommands.txt"

But I've decided I can live with that.