How can I do SELECT UNIQUE with LINQ?

The Distinct() is going to mess up the ordering, so you'll have to the sorting after that.

var uniqueColors = 
               (from dbo in database.MainTable 
                 where dbo.Property == true 
                 select dbo.Color.Name).Distinct().OrderBy(name=>name);

var uniqueColors = (from dbo in database.MainTable 
                    where dbo.Property == true
                    select dbo.Color.Name).Distinct();

Using query comprehension syntax you could achieve the orderby as follows:

var uniqueColors = (from dbo in database.MainTable
                    where dbo.Property
                    orderby dbo.Color.Name ascending
                    select dbo.Color.Name).Distinct();