I read this article where Ayende states NHibernate can (compared to EF 4):
  
  Collection with lazy=”extra” – Lazy extra means that NHibernate adapts to
  the operations that you might run on
  top of your collections. That means
  that blog.Posts.Count will not force a
  load of the entire collection, but
  rather would create a “select count(*)
  from Posts where BlogId = 1”
  statement, and that
  blog.Posts.Contains() will likewise
  result in a single query rather than
  paying the price of loading the entire
  collection to memory.
  Collection filters and paged collections  - this allows you to
  define additional filters (including
  paging!) on top of your entities
  collections, which means that you can
  easily page through the blog.Posts
  collection, and not have to load the
  entire thing into memory.
  
So I decided to put together a test case. I created the cliché Blog model as a simple demonstration, with two classes as follows:
public class Blog
{
    public virtual int Id { get; private set;  }
    public virtual string Name { get; set; }
    public virtual ICollection<Post> Posts { get; private set;  }
    public virtual void AddPost(Post item)
    {
        if (Posts == null) Posts = new List<Post>();
        if (!Posts.Contains(item)) Posts.Add(item);
    }
}
public class Post
{
    public virtual int Id { get; private set; }
    public virtual string Title { get; set; }
    public virtual string Body { get; set; }
    public virtual Blog Blog { get; private set; }
}
My mappings files look like this:
<hibernate-mapping xmlns="urn:nhibernate-mapping-2.2" default-access="property" auto-import="true" default-cascade="none" default-lazy="true">
  <class xmlns="urn:nhibernate-mapping-2.2" name="Model.Blog, TestEntityFramework, Version=1.0.0.0, Culture=neutral, PublicKeyToken=null" table="Blogs">
    <id name="Id" type="System.Int32, mscorlib, Version=4.0.0.0, Culture=neutral, PublicKeyToken=b77a5c561934e089">
      <column name="Id" />
      <generator class="identity" />
    </id>
    <property name="Name" type="System.String, mscorlib, Version=4.0.0.0, Culture=neutral, PublicKeyToken=b77a5c561934e089">
      <column name="Name" />
    </property>
    <property name="Type" type="System.Int32, mscorlib, Version=4.0.0.0, Culture=neutral, PublicKeyToken=b77a5c561934e089">
      <column name="Type" />
    </property>
    <bag lazy="extra" name="Posts">
      <key>
        <column name="Blog_Id" />
      </key>
      <one-to-many class="Model.Post, TestEntityFramework, Version=1.0.0.0, Culture=neutral, PublicKeyToken=null" />
    </bag>
  </class>
</hibernate-mapping>
<hibernate-mapping xmlns="urn:nhibernate-mapping-2.2" default-access="property" auto-import="true" default-cascade="none" default-lazy="true">
  <class xmlns="urn:nhibernate-mapping-2.2" name="Model.Post, TestEntityFramework, Version=1.0.0.0, Culture=neutral, PublicKeyToken=null" table="Posts">
    <id name="Id" type="System.Int32, mscorlib, Version=4.0.0.0, Culture=neutral, PublicKeyToken=b77a5c561934e089">
      <column name="Id" />
      <generator class="identity" />
    </id>
    <property name="Title" type="System.String, mscorlib, Version=4.0.0.0, Culture=neutral, PublicKeyToken=b77a5c561934e089">
      <column name="Title" />
    </property>
    <property name="Body" type="System.String, mscorlib, Version=4.0.0.0, Culture=neutral, PublicKeyToken=b77a5c561934e089">
      <column name="Body" />
    </property>
    <many-to-one class="Model.Blog, TestEntityFramework, Version=1.0.0.0, Culture=neutral, PublicKeyToken=null" name="Blog">
      <column name="Blog_id" />
    </many-to-one>
  </class>
</hibernate-mapping>
My test case looks something like this:
        using (ISession session = Configuration.Current.CreateSession()) // this class returns a custom ISession that represents either EF4 or NHibernate
        {
            blogs = (from b in session.Linq<Blog>()
                         where b.Name.Contains("Test")
                         orderby b.Id
                         select b);
            Console.WriteLine("# of Blogs containing 'Test': {0}", blogs.Count());
            Console.WriteLine("Viewing the first 5 matching Blogs.");
            foreach (Blog b in blogs.Skip(0).Take(5))
            {
                Console.WriteLine("Blog #{0} \"{1}\" has {2} Posts.", b.Id, b.Name, b.Posts.Count);
                Console.WriteLine("Viewing first 5 matching Posts.");
                foreach (Post p in b.Posts.Skip(0).Take(5))
                {
                    Console.WriteLine("Post #{0} \"{1}\" \"{2}\"", p.Id, p.Title, p.Body);
                }
            }
        }
Using lazy="extra", the call to b.Posts.Count does do a SELECT COUNT(Id)... which is great. However, b.Posts.Skip(0).Take(5) just grabs all Posts for Blog.Id = ?id, and then LINQ on the application side is just taking the first 5 from the resulting collection.
What gives?