>Doesn't take care of if for me :-{
>If FirstOrDefault() returns null than trying to access any property of the expected type throws a NullReferenceException

Strange, maybe it doesn't where you tried? In Linq To SQL it works (internally creates a coalesce query):

void Main()
{
	var data = from c in Customers
			   let first = c.Orders.FirstOrDefault()
			   let firstDet = first.OrderDetails.FirstOrDefault()
			   select new {
			      Customer = c.CustomerID,
				  City = first.ShipCity ?? "",
				  EmployeeFirst = first.Employee.FirstName ?? "",
				  OrderDetailFirst = firstDet.Product.ProductName ?? ""
				  
			   };
	data.Dump(); // LinqPad luxury
}