I know some tools internal to Intel that can do that. I am trying to find out if we have commercial or publicly available tools that can do this. I will get back to you on this as soon as I find out more.
System Analyzer, part of Intel(R) Graphics Performance Analyzers (see https://software.intel.com/en-us/gpa), can take some power measurements depending on the platform. For client parts its primarily package power and pkg/tdp power, for mobile you have a few more options.
What platform are you planning to do your measurements on?
Here is another recommendation:
You can try using Intel Vtune Amplifier for Systems (Shipped with ISS https://software.intel.com/en-us/intel-system-studio). You can run the Energy profiler analysis as stated at https://software.intel.com/en-us/node/529838. This should give timeline information for Graphics C/P states - https://software.intel.com/en-us/node/534382.
Mac OSX apparently is not supported :(
In addition to the great resources that Robert already shared, you may wish to check out Intel Performance Counter Monitor (PCM). It works on Windows, Linux and Mac: https://software.intel.com/en-us/articles/intel-performance-counter-monitor
However, PCM will not give you a fine-grained result like VTune. Also, it will not give you the power consumption of the GPU only. Instead, PCM will give you power measurements for the whole package (socket), that is, CPU + integrated GPU.
Depending on your hardware, if you have integrated graphics and your OpenCL application is offloading most of its work to the integrated GPU, you can estimate the power consumption of your app running on the GPU. You will have to do some linear regression of your data to single out the CPU power.
On another note, what you are trying to do is interesting for Intel and the power-conscious community. If you do try out the above, please let us know your results!