One of my colleagues, Daniel Leiszen is the lead developer of LINQ4SP project. He started to write a developer series about LINQ4SP. His first article is brand new, published a few minutes ago: LINQ4SP - Query Evaluation:

"The evaluation of a Linq query is quite straightforward. The provider of the query source creates a new query object based on the given query expression, and returns it. When the client code tries to iterate through the results, the query object triggers the provider to evaluate the expression tree and to turn the tree into one or more CAML queries."