\
does the job. @Guillaume's answer and @George's comment clearly answer this question. Here I explains why The backslash has to be the very last character before the end of line character.
Consider this command:
mysql -uroot \ -hlocalhost
If there is a space after \
, the line continuation will not work. The reason is that \
removes the special meaning for the next character which is a space not the invisible line feed character. The line feed character is after the space not \
in this example.