The thing you're missing is the way that LINQ creates an anonymous type, which is used to close over the values in the expression:

    var results = from a in x
                  from b in y
                  from c in z
                  select a * b * c;

Is very much more attractive than:

    var results = x.SelectMany(a => y.SelectMany(b => z.Select(c => a * b * c)));

If you use LINQ for more than just SQL queries (for monadic types like Option, Either, etc.) then these types of expression are commonplace. I'd certainly rather use C#'s LINQ grammar over its fluent API.