For LINQ to SQL, EF, etc. it probably doesn't matter - it's entirely possible that the TSQL translation will make it identical anyway. Of course, you can be sure that: -p
But for LINQ-to-Objects (which is very literal) this will be. You can improve this by using let:
return from c in ctx.Customers.Include("Addresses")
let m = from a in c.Addresses where a.Nickname == "Me" select a
where m.Any()
let first = m.First()
select new
{
Id = c.CustomerId,
first.Name,
first.Address1,
...
first.PhoneNumber
};