List<string> liItems= (from ListItem item in ListBox1.Items where item.Selected select item.Value).ToList();

you could test a LINQ query without pressing F5 in Visual Studio..

http://www.linqpad.net/

 the tool also includes all the samples from the book "C# 3.0 in a Nutshell" written by Joseph Albahari

LINQ Project Overview by Don Box and Anders Hejlsberg

After two decades, the industry has reached a stable point in the evolution of object oriented programming technologies. Programmers now take for granted features like classes, objects, and methods. In looking at the current and next generation of technologies, it has become apparent that the next big challenge in programming technology is to reduce the complexity of accessing and integrating information that is not natively defined using OO technology. The two most common sources of non-OO information are relational databases and XML.

Rather than add relational or XML-specific features to our programming languages and runtime, with the LINQ project we have taken a more general approach and are adding general purpose query facilities to the .NET Framework that apply to all sources of information, not just relational or XML data. This facility is called .NET Language Integrated Query (LINQ).

We use the term language integrated query to indicate that query is an integrated feature of the developer’s primary programming languages (e.g., C#, Visual Basic). Language integrated query allows query expressions to benefit from the rich metadata, compile-time syntax checking, static typing and IntelliSense that was previously available only to imperative code. Language integrated query also allows a single general purpose declarative query facility to be applied to all in-memory information, not just information from external sources.