This is super awesome! I was thinking of building something like this the other day because I wanted to test some code and not make a new test console app.
As stated elsewhere linqpad is really great for testing ad-hoc, throwaway C# code (much more than just linq expressions). It kind of like a REPL for .net.
If you're doing any Entity Framework development, you should be using LinqPad and checking generated SQL for pretty much every canned (read re-used, not inline) query you write. Somethings can be unexpectedly ugly and badly performing if not optimized properly.
Totally awesome!