There's a great series of posts over at Scott Guthrie's Blog covering LINQ, a new feature in the upcoming version of Visual Studio ("Orcas"). Check it out; I have not had a chance to play around with it yet, but it certainly looks very interesting.  The articles are very well done and explain the concept very clearly with lots of examples.

From the article:

The above language features help make querying data a first class programming concept.  We call this overall querying programming model "LINQ" - which stands for .NET Language Integrated Query.

Developers can use LINQ with any data source.  They can express efficient query behavior in their programming language of choice, optionally transform/shape data query results into whatever format they want, and then easily manipulate the results.  LINQ-enabled languages can provide full type-safety and compile-time checking of query expressions, and development tools can provide full intellisense, debugging, and rich refactoring support when writing LINQ code.