I heard lots of reviews on the book Linq in Action, but it does not cover Linq to Entities.
Please provide your feedback on the books you may have read.
Check this, it may help till a good book appear: http://weblogs.asp.net/zeeshanhirani/archive/2008/12/05/my-christmas-present-to-the-entity-framework-community.aspx
I've recently been reading an early draft of Entity Framework in Action; it seems to be along the right lines, but isn't complete yet.
At this point in time, I'd be wondering which books are covering the VS2010/.NET 4.0 version of Entity Framework, as there are considerable changes afoot. I don't know whether the above book will publish against 3.5 SP1 or 4.0, but it stands a better chance of being up to date than the existing dead trees.
LINQ in Action is a good book for understanding the principles of LINQ, and LINQ-to-SQL in particular.
C# in Depth is good for understand how LINQ works at the language level, including query syntax, extension methods and expression trees.
EF... trickier. One problem is that it is likely to change quite a bit between now and the next version due to the "thunderdome" scenario.