With VB 9 getting closer to release, Microsoft had to make some hard decisions about what features were going to make the cut. While most of the important features made it in, there were some notable exceptions. Paul Vic has the rundown.
The C# concept of friend assemblies made it in, as well as relaxed delegates. The ability to curry delegates has been pushed off to a later release.
Runtime Agility, the ability to compile without the VB Runtime, did make the cut. This is an essential step for moving VB to other platforms such as the XBox 360 and the .NET Micro Edition.
All of the wonderful LINQ stuff you've been hearing about made it in, but not some of its supporting features. Collection initializers didn't make it in, nor the ability to initialize readon-only fields. Another restriction is that while lambda expressions are supported, statements in lambda are not. This last one may be due to the fact that VB doesn't have an arbitrary block structure like C#.
XML Literals, Members, and Namespaces, which along with LINQ are the crown jewels of VB 9, will be supported. This deep integration with XML is the first feature since late binding that really makes VB stand out from C#.