I recently came across a question in the Entity Framework forum on msdn: http://social.msdn.microsoft.com/Forums/en-US/adodotnetentityframework/thread/bb72fae4-0709-48f2-8f85-31
Interesting discussion. I have used 2 ORM models so far (NHibernate and LINQ-to-Entities). In my experience, there is always a line where you have to give up on ORM to generated SQL and resort back to stored procedures or views to achieve best scalable queries. Having said that, I personally think that LINQ works better on more normalized databases and all the nested queries/joins are not a major issue. There are some cases where, in order to increase performance or scalability, you have to use DB server features (indexed views for example on SQL 2008 SE works only with query hints) and you simply cannot use an ORM (except iBatis?).
Granted that you won't get the best performance or scalability by using these nested joins/queries generated by linq but please don't forget the advantages and development benefits given by LINQ (or NHibernate) in any project. Surely there must be some merit to it.
Finally, although I risk comparing apple and oranges but isn't think more like asking: Do you want rapid website development (asp.net webforms, swing) or more control on your HTML (asp.net mvc, RoR)? pick the thing that best suits your requirements.
My 2 cents!