I considered this but then went the other way - a \ before anything other than a \, newline or comma is treated as an error. This leaves room for adding features, e.g. \N to signify a SQL NULL.
Regarding quoting and escaping, there are two options that make sense to me - either use quoting, in which case quotes are self-escaped and that's that; or use escaping, in which case quotes aren't necessary at all.
For my own parser, I made everything `\` escaped: outside of a quote or double-quote delimited string, any character prefixed with a `\` is read verbatim. There are no special exceptions resulting in `\,` producing a comma while `\a` produces `\a`. This makes it a good rule, because it is only one rule with no exceptions.