There’s no one single answer that will suffice here.
LINQ has many uses, and many implementations, and thus many implications to the efficiency of your code.
As with every piece of technology at our fingertips, LINQ can and will be abused and misused alike, and the ability to distinguish between that, and proper usage, is only dependent on one thing: knowledge.
So the best advice I can give you is to go and read up on how LINQ is really implemented.
Things you should check into are:
- LINQ and how it uses the methods and extension methods on existing collection types
- How LINQ Works
- How LINQ works internally (Stack Overflow)
- How does coding with LINQ work? What happens behind the scenes?
- How LINQ-to-objects and LINQ-to-SQL differs
- What is the difference between LINQ query expressions and extension methods (Stack Overflow)
- Alternatives to the new LINQ syntax, for instance, the usage of the .Where(…) extension method for collections
And as always, when looking at efficiency questions, the only safe approach is just to measure. Create a piece of code using LINQ that does a single, know, thing, and create an alternative, then measure both, and try to improve. Guessing and assuming will only lead to bad results.