Somehow I missed this one when it was first featured on .NET Kicks, but for those of you who haven't come across it yet, this little utility is highly recommended. LINQPad is a simple LINQ / SQL editing and executing environment and is great for learning LINQ. It also doubles up as a lite version of SQL management studio, allowing you to easily run your LINQ or SQL statements.
What's really great about it is that it comes with a load of example scripts. For those who learn by trying things themselves, this is an invaluable tool. It does for LINQ what XAMLPad does for WPF and SilverlightPad does for Silverlight.