C#. Do if( a == (b or c or d)). Is it possible?

Your solution to rewrite it as

if( new [] {x,y,z}.Contains(a))

is not a good move.

You've take a simple efficient logical operation, which every programmer easily understands and which contains short-circuiting logic to speed it up and instead you've produced code that requires a moment to understand and which is considerably less efficient.

Sometimes your fellow engineers will prefer it if you don't try to be "clever"!

I often use an extension method that mimics SQLs IN:

public static bool IsIn<T>(this T obj, params T[] collection) {
   return collection.Contains(obj);
}

That way I can do

if(a.IsIn(b, c, d)) { ... }

You have the classic switch statement :

switch(a) {
    case x:
    case y:
    case z:
        // Do stuff
        break;
}

Just for fun:

using System;

static class Program {

    static bool In(this object obj, params object[] values) {
        foreach (object value in values) {
            if (obj.Equals(value)) {
                return true;
            }
        }
        return false;
    }

    static void Main(string[] args) {
        bool test1 = 3.In(1, 2, 3);
        bool test2 = 5.In(1, 2, 3);
    }
}

But I really think that the best way is to write the plain check

if(a == x || a == y || a == z)

As everybody will understand immediately what it does.