There is the issue of paging over a federated set that is interpreted by SQL 2005.
var orders = ( from c in Customers from o in c.Orders select new {c, o} ).Skip(10).Take(10).ToList();
LINQ generates ROW_Number against the combined set. SQL2005 creates a bad plan from this code. Here is a link to the discussion .
Edit # 2: I would like to clarify that I do not know that SQL2008 solves this problem. I just hope so.
Amy b source share