I don't find myself throwing out the term "must have" very often in the world of Developer Tools. Yes, I think that Visual Studio is great and there are a few other tools that I find myself using, but now so much of what I used to exit Visual Studio to use now in the Visual Studio IDE. That being said, I really prefer staying within the IDE and will avoid using misc. tools that are not inside of the IDE. Thanks SoCalDevGal (whose blog I subscribe to) for blogging about this, otherwise I wouldn't have found it.
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THIS TOOL IS AN EXCEPTION!!!
LINQPad is a "Must have" tool for anyone who is trying to understand LINQ, Lambda Expressions, LINQ to SQL, LINQ to XML and LINQ to Objects. This tool allows you to connect to a database, build your objects in the IDE for LINQ to Objects, and look at the results. Even better, the tool will show you the same query translated into a Lambda Expression and SQL (where it applies).

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This is a great, great tool! OK, now I will stop gushing and point you to the link.
Here's a link to the site to freely download it: Click here to access.
~ Robert Shelton