LINQ is pronounced link, "LIN Cue" or Lynx
A minor note - at TechEd in Orlando, many attendees decided to pronounce Language INtegrated Query (LINQ) as either "lin cue" or "lynx". Maybe we can get a cooler logo with lynx now! We pronounce it the same as "link" though!
All its components are called LINQ to Whatever (Objects, SQL, DataSet, XML, Entities, ...).