LINQPad is nice tool that can help you to study LINQ. I have read firs overview of this tool. Absence auto-complete grieves most people. Auto-complete is present in new version. This option requiring payment. IMHO: auto-complete is more detrimental than efficiency for studying (but very useful for work).
But I want say not about that. LINQPad is obtain other interesting feature. Author of this tool Joseph Albahari with your brother had written book "C# 3.0 in a Nutshell" and he added LINQ samples from this book to LINQPad. You can not only investigate different case moreover you can see how it look in lambda and IL code.
Investigate these samples in IL code should be very interesting ;)