Check out this video demonstration of the basics of C# Lambda expressions using Visual Studio 2010.
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Check out this video demonstration of how to get started programming the Entity Framework using Visual Studio 2010.
This video demonstrates how to create a simple application for exploring and testing LINQ to SQL. In the video I am using WPF as my application but it could easily be done using other project templates. I am also using the LINQ to SQL classes modeling tool to create my data classes that map to the SQL tables. This tool saves me a lot of time by not having to create custom data classes by hand.