So I was plugging right along in Silverlight using LINQ to asynchronously pull data from our database into my C# code. Everything was going great until I attempted to pull data from one table and its related tables all in one query. Here is what I found which resolved my data problem.

In my Library class I have the following code that enables my ASP.NET code to query a User by UserID and return a User object along with their UserFavorites and Illustration objects. This gives me everything I need to know about the user and their favorite illustrations.
public IQueryable<MyLibrary.User> GetUserByID(int userID)

{
    return myContext.Users.Include("UserFavorites").Include("UserFavorites.Illustration")
        .Where(u => u.UserID == userID);
}

In Silverlight I had a need to perform the same query using LINQ. After much searching on the web I found the two things that were needed to make this happen.
1. Use "Expand" instead of "Include"

2. Instead of "UserFavorites.Illustration" replace the "." with a "/" to get "UserFavorites/Illustration".

    int userID = 0;
    var qUser = ((DataServiceQuery<User>)(from myUser in service.Users
                  where myUser.UserID.Equals(userID)
                  select myUser))
                .Expand("UserFavorites")
                .Expand("UserFavorites/Illustration");

Now I have all of my data and I am happy once again. Using the Expand on my query is very nice in that I can get all of my data in one asynchronous call.

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