A new tool I learned about recently from Eric Nelson called LINQPad. It is a tool that allows you to write LINQ queries directly into its IDE then execute them.
There is support for:
-LINQ to SQL
-LINQ to Xml
-LINQ to Objects
You can of course see the results and also the SQL generated (DLINQ) - which saves you the need to troll through the SQL Profiler when performance tuning your code.
In addition the guy who wrote this tool also wrote a book called C# in a Nutshell. All the code examples in his book can be found in this tool which you can change and execute if you want. A great way to learn LINQ.
It supports VB too. There is no support for LINQ to ADO.NET (Entities) so you won't get to see the SQL generated. Other than that the LINQ will be the same.
Get it here.