LINQPad is a great way to learn LINQ: it comes loaded with 500 examples from the book, C# 4.0 in a Nutshell. 
There's no better way to experience the coolness of LINQ and functional programming.

LINQPad is more than just a LINQ tool: it's an ergonomic C#/VB scratchpad that instantly executes
any C#/VB expression, statement block or program with rich output formatting – the ultimate in dynamic development.
Put an end to those hundreds of Visual Studio Console projects cluttering your source folder!

Best of all, LINQPad standard edition is free and can run without installation (or with a low-impact setup).
The executable is 3MB and is self-updating.

To get it, go to:
http://www.linqpad.net/