JoeA's LINQPad is an indispensible tool for LINQ development.
Write a query expression and view the results, the generated SQL, and the extension method / lambda equivalent. Works for both C# and VB!
Joe also dares developers to take the LINQPAd challenge:
Teachers say language immersion is highly effective when learning a new language. I'm sure the LINQPad challenge is a worthwhile endeavor to learn the subtleties of LINQ.