Start here. This is the direct spoken answer to practice first.
Why this question matters
A LINQ chain can look uniformly lazy while individual operators have very different first-result and memory behavior.
Many LINQ operators are deferred, but deferred does not mean memory-free. Where and Select can usually read one item and yield one item. OrderBy must consume and sort the source before returning the first result. Other operators keep state whose size depends on the input. Distinct, for example, can yield incrementally but must remember values already seen.