When you're creating an app that uses Linq and you want to see the SQL that is generated, you can attach to the Log property of the DataContext.

To get this to stream to the DebugWindow, use the following bit of code (credits to Kris Vandermotten - http://www.u2u.info/Blogs/Kris/Lists/Posts/Post.aspx?ID=11)

using System;
using System.Diagnostics;
using System.Globalization;
using System.IO;
using System.Text;

namespace Vandermotten.Diagnostics
{
    /// <summary>
    /// Implements a <see cref="TextWriter"/> for writing information to the debugger log.
    /// </summary>
    /// <seealso cref="Debugger.Log"/>
    public class DebuggerWriter : TextWriter
    {
        private bool isOpen;
        private static UnicodeEncoding encoding;
        private readonly int level;
        private readonly string category;

        /// <summary>
        /// Initializes a new instance of the <see cref="DebuggerWriter"/> class.
        /// </summary>
        public DebuggerWriter()
            : this(0, Debugger.DefaultCategory)
        {
        }

        /// <summary>
        /// Initializes a new instance of the <see cref="DebuggerWriter"/> class with the specified level and category.
        /// </summary>
        /// <param name="level">A description of the importance of the messages.</param>
        /// <param name="category">The category of the messages.</param>
        public DebuggerWriter(int level, string category)
            : this(level, category, CultureInfo.CurrentCulture)
        {
        }

        /// <summary>
        /// Initializes a new instance of the <see cref="DebuggerWriter"/> class with the specified level, category and format provider.
        /// </summary>
        /// <param name="level">A description of the importance of the messages.</param>
        /// <param name="category">The category of the messages.</param>
        /// <param name="formatProvider">An <see cref="IFormatProvider"/> object that controls formatting.</param>
        public DebuggerWriter(int level, string category, IFormatProvider formatProvider)
            : base(formatProvider)
        {
            this.level = level;
            this.category = category;
            this.isOpen = true;
        }

        protected override void Dispose(bool disposing)
        {
            isOpen = false;
            base.Dispose(disposing);
        }

        public override void Write(char value)
        {
            if (!isOpen)
            {
                throw new ObjectDisposedException(null);
            }
            Debugger.Log(level, category, value.ToString());
        }

        public override void Write(string value)
        {
            if (!isOpen)
            {
                throw new ObjectDisposedException(null);
            }
            if (value != null)
            {
                Debugger.Log(level, category, value);
            }
        }

        public override void Write(char[] buffer, int index, int count)
        {
            if (!isOpen)
            {
                throw new ObjectDisposedException(null);
            }
            if (buffer == null || index < 0 || count < 0 || buffer.Length - index < count)
            {
                base.Write(buffer, index, count); // delegate throw exception to base class
            }
            Debugger.Log(level, category, new string(buffer, index, count));
        }

        public override Encoding Encoding
        {
            get
            {
                if (encoding == null)
                {
                    encoding = new UnicodeEncoding(false, false);
                }
                return encoding;
            }
        }

        public int Level
        {
            get { return level; }
        }

        public string Category
        {
            get { return category; }
        }
    }
}