Snippet Compiler is great for this.
LINQPad is also good for testing out all sorts of C#, F# or VB code, not just LINQ queries.
EDIT
I suppose it’s time that I mention that Snippet Compiler hasn’t been updated in over five years, and is therefore no longer the best option.
However, I undersold LINQPad originally. As Will Dean mentioned in the comments, LINQPad is excellent for all sorts of code, not just LINQ queries. In fact, it has become an indispensable tool for me. I use it daily, not only to quickly test out short snippets, but for relatively complex mini programs. Its advanced output formatting makes it extremely easy to quickly examine intermediate and final results.