I explored LinqPad last year and I found it potentially useful but too cumbersome at that time for me.
I tried again today, I’ve been impressed. There are tons of missing features from LinqPad but I see it now.
Joseph Albahari has got it right, Linq is an improvement on SQL.
Two big features that make LinqPad Useful, AutoComplete and Linq to SQL support.
Big Missing Features: Solution Explorer, better Export of Results Support.
I think MSFT should incorporate a product like LinqPad that is a First Class Citizen in their Software Arsenal. Just like Linq became a first class citizen of C#. Linq and SSRS (Sql Server Reporting Services) would be nice too!