I think understanding the point of the query execution is often a mistake (i.e. believing it's at the point of the query rather than at the point the data is first accessed), along with the belief that just because it compiles that it's going to run.
This in reference to Linq to SQL.
A fantastic tool for Linq is LinqPad by Joe Albahari, allowed me to learn Linq so much more quickly. If you don't have it, get it! And I'm not even on commission ;)
