Caveat to the use of lambdas... Where, ironically the last time I used .Net was what I needed to inspect the most were subsets of collections or the results of other queries... I always used the function methods for linq over the language extension.
Lambdas are supported in the debugger as of Visual Studio 2015 :)
VS has the 'immediate window' which allows you to execute (almost) any statement within the context of the local scope, including intellisense and autocomplete.