There is a bit of an art to writing LINQ queries, but if you know what you're doing (i.e. spend a little time experimenting, with the traces turned on in EF or Linq to SQL that output the generated SQL, or a good profiler), you can write queries that are exactly the same as hand-tuned SQL. There's a little reflection overhead mapping results to types, but, you either make use of that, or have to write all that boilerplate yourself, so that's the tradeoff.

Of course, if you don't know what you're doing, you can write some monstrous Linq queries that will be dog slow and exhibit all the worst n+1 behavior, pretty easily.