IL

  IL_001e:  call       class [System]System.Diagnostics.Stopwatch [System]System.Diagnostics.Stopwatch::StartNew()
  IL_0023:  stloc.1
  IL_0024:  ldloc.0
  IL_0025:  ldsfld     class [mscorlib]System.Func`2<class ConsoleApplication5.Program/Fuu,bool> ConsoleApplication5.Program::'CS$<>9__CachedAnonymousMethodDelegate3'
  IL_002a:  brtrue.s   IL_003d
  IL_002c:  ldnull
  IL_002d:  ldftn      bool ConsoleApplication5.Program::'<Main>b__1'(class ConsoleApplication5.Program/Fuu)
  IL_0033:  newobj     instance void class [mscorlib]System.Func`2<class ConsoleApplication5.Program/Fuu,bool>::.ctor(object,
                                                                                                                      native int)
  IL_0038:  stsfld     class [mscorlib]System.Func`2<class ConsoleApplication5.Program/Fuu,bool> ConsoleApplication5.Program::'CS$<>9__CachedAnonymousMethodDelegate3'
  IL_003d:  ldsfld     class [mscorlib]System.Func`2<class ConsoleApplication5.Program/Fuu,bool> ConsoleApplication5.Program::'CS$<>9__CachedAnonymousMethodDelegate3'
  IL_0042:  call       class [mscorlib]System.Collections.Generic.IEnumerable`1<!!0> [System.Core]System.Linq.Enumerable::Where<class ConsoleApplication5.Program/Fuu>(class [mscorlib]System.Collections.Generic.IEnumerable`1<!!0>,
                                                                                                                                                                       class [mscorlib]System.Func`2<!!0,bool>)
  IL_0047:  pop
  IL_0048:  ldloc.1
  IL_0049:  callvirt   instance void [System]System.Diagnostics.Stopwatch::Stop()



  IL_005e:  call       class [System]System.Diagnostics.Stopwatch [System]System.Diagnostics.Stopwatch::StartNew()
  IL_0063:  stloc.1
  IL_0064:  ldloc.0
  IL_0065:  ldsfld     class [mscorlib]System.Func`2<class ConsoleApplication5.Program/Fuu,bool> ConsoleApplication5.Program::'CS$<>9__CachedAnonymousMethodDelegate4'
  IL_006a:  brtrue.s   IL_007d
  IL_006c:  ldnull
  IL_006d:  ldftn      bool ConsoleApplication5.Program::'<Main>b__2'(class ConsoleApplication5.Program/Fuu)
  IL_0073:  newobj     instance void class [mscorlib]System.Func`2<class ConsoleApplication5.Program/Fuu,bool>::.ctor(object,
                                                                                                                      native int)
  IL_0078:  stsfld     class [mscorlib]System.Func`2<class ConsoleApplication5.Program/Fuu,bool> ConsoleApplication5.Program::'CS$<>9__CachedAnonymousMethodDelegate4'
  IL_007d:  ldsfld     class [mscorlib]System.Func`2<class ConsoleApplication5.Program/Fuu,bool> ConsoleApplication5.Program::'CS$<>9__CachedAnonymousMethodDelegate4'
  IL_0082:  call       class [mscorlib]System.Collections.Generic.IEnumerable`1<!!0> [System.Core]System.Linq.Enumerable::Where<class ConsoleApplication5.Program/Fuu>(class [mscorlib]System.Collections.Generic.IEnumerable`1<!!0>,
                                                                                                                                                                       class [mscorlib]System.Func`2<!!0,bool>)
  IL_0087:  pop
  IL_0088:  ldloc.1
  IL_0089:  callvirt   instance void [System]System.Diagnostics.Stopwatch::Stop()

Teste

 class Program
    {
        private class Fuu
        {
            public int A { get; set; }
            public string B { get; set; }
        }

        static void Main(string[] args)
        {
            var list = new List<Fuu>{ new Fuu{}, new Fuu{}};
            var sw = Stopwatch.StartNew();

            var query = list.Where(a => a.A == 1 && a.B == "fuu");
            

            sw.Stop();

            Console.WriteLine(sw.Elapsed);

            sw = Stopwatch.StartNew();
             query = from p in list
                        where p.A == 1 && p.B == "fuu"
                        select p;

            sw.Stop();

            Console.WriteLine(sw.Elapsed);
        }
    }