Digging into preview.sty documented code, I found that adding some material to the \pr@ship@end hook is the way to do it (what I want is nearly the same as the auctex option does). The dimensions I was looking for are those of \pr@box.
Since I need the dimensions to be in centimeter, I used a conversion macro given in an other answer.
\documentclass{article}
\usepackage{amsmath}
\usepackage[active,tightpage]{preview}
\PreviewEnvironment{equation*}
\makeatletter
% Conversion utility (https://tex.stackexchange.com/a/37317/8425)
\begingroup
\catcode `P=12 % digits and punct. catcode
\catcode `T=12 % digits and punct. catcode
\lowercase{%
\def\x{\def\rem@pt##1.##2PT{##1\ifnum##2>\z@.##2\fi}}}
\expandafter\endgroup\x%
\def\strip@pt{\expandafter\rem@pt\the}
\def\convertto#1#2{\strip@pt\dimexpr #2*65536/\number\dimexpr 1#1\relax\relax}
% Answer to the question
\newwrite\file
\immediate\openout\file=snippet-list.txt
\g@addto@macro\pr@ship@end{%
\immediate\write\file{%
\convertto{cm}{\the\dimexpr\ht\pr@box+\dp\pr@box\relax}
\convertto{cm}{\the\wd\pr@box}}}
\begin{document}
Test
\begin{equation*}
x^2 = 2
\end{equation*}
Test
\begin{equation*}
\int x^2\, dx = \frac{x^3}{2}
\end{equation*}
\closeout\file
\end{document}
I get a snippet-list.txt with
0.42175 12.12537
0.86165 12.12537