I came across this little nifty application called LINQPad by Joseph Albahari. Its free and just a plain executable with no installation needed.

Like with Management Studio you can query your SQL Database but instead with LINQ. 

It even gives you a Lambda expression for you query, so that you can tune your queries.

I normally do a lot of queries to various databases every day with SQL from Management Studio, but to practice my LINQ skills I'm currently doing these with LINQPad instead.

It supports LINQ to SQL, LINQ to Objects, LINQ to XML and contains 200 examples from the book C# 3.0 in a Nutshell.

Actually you can execute any C# 3 og VB9 snippet, so its great for experimenting.

LINQPad Download: http://www.linqpad.net/