I highly recommend buying a LINQPad licence. I use it several times a day now and it's so much better with the extra features.

My favourite feature is the ability to point it at a DLL which has an entity data model in it - and then work with that model 'live' as if you were inside app code.

Normally, to do that, you'd have to put a breakpoint in your app and use VS's Immediate window - which doesn't support useful stuff like lambdas.