Anonymous Types In Orcas Article

Anonymous types are a convenient language feature that enable developers to concisely define inline CLR types within code, without having to explicitly provide a formal class declaration of the type. Although they can be used in lots of scenarios, there are particularly useful when querying and transforming/shaping data with LINQ.

Scott Guthrie has a nice article on his blog that covers anonymous types

Here are the sections:
What are Anonymous Types
Anonymous Type Example
Understanding the Var Keyword
Declaring Anonymous Types
Using Anonymous Types for Hierarchical Shaping
Data Binding Anonymous Types
Summary

Read the article here: http://weblogs.asp.net/scottgu/archive/2007/05/15/new-orcas-language-feature-anonymous-types.aspx