The OData tools that accompany the Windows Phone SDK have been much improved since the first release of Windows Phone. In the first release, an external tool had to be downloaded and used to generate the OData service proxies. In addition, the LINQ interpreter on the phone did not support closures on local variables, which meant that using a variable inside a LINQ expression caused a runtime failure. That made LINQ to OData on the phone mostly unusable. This has since been rectified, and service proxies can now be generated using the Add Service Reference dialog.
Before you see how to create an OData consumer using LINQ, you should become familiar with the OData URI syntax.