I often hear those who identify themselves as "database programmers" (sometimes I think these may be folks who program only inside-database code), say: "I'd give learning LINQ and/or LINQ to SQL/Entities or Entity SQL (eSQL) a go in my sparse time, but I don't have a good book or a tool.
I haven't read a book on either of these yet, spending most of my time in BOL. BOL is a good start (but not comprehensive) for LINQ and LINQ to SQL. eSQL docs are pretty sparse, but that's because its not a shipping product yet. Maybe things will improve. (Note: if anyone wants to send me a copy of their book to read in my spare time, I'll give it a go ;-).
Following LINQ is more difficult than EF (modulo LINQ to Entities) because there's many implementations/dialects. There are operators that LINQ (over objects) can do, but LINQ to SQL or LINQ to Entities cannot.
On to tools:
For LINQ, I like LINQPad by Joseph Albahari. Simple to set up, although the queries are not *exactly* the same as you'd write in a program. And it doesn't support LINQ to Entities yet (or LINQ to DataSet for that matter). But, all in all, an excellent tool.
For eSQL, there's no comparison to Zlatko Michailov's eSqlBlast. This is not only an eSQL practice query processor, but also a visualizer for the results you'd get back. You just type in the eSQL. Even comes with source code. Latest version is on CodePlex. This is straight eSQL, no LINQ to Entities support here either.
Neither one of these has Intellisence or statement completion, I believe.