LINQ as a language is pretty straight forward and not so unexpected, especially if you're familiar with functional programming.
The concept of Deferred Execution is probably the biggest gotcha, and one of the best features. When you use LINQ that returns an IQueryable it's important to remember you are NOT executing whatever code you just wrote. It isn't until you call one of the methods that produces some other result that the query is executed.
Also, in terms of the LINQ to SQL provider, the biggest gotcha I've found is the performance cost. Turns out there is significant CPU cost to constructing SQL queries that are incurred every time the LINQ query is ran, unless you pre-compile your highly trafficked queries.
