In LINQ, select all values of property X where X != null

You could define your own extension method, but I wouldn't recommend that.

public static IEnumerable<TResult> SelectNonNull<T, TResult>(this IEnumerable<T> sequence,Func<T, TResult> projection)
{
   return sequence.Select(projection).Where(e => e != null);
}

I don't like this one because it mixes two concerns. Projecting with Select and filtering your null values are separate operations and should not be combined into one method.

---

I'd rather define an extension method that only checks if the item isn't null:

public static IEnumerable<T> WhereNotNull<T>(this IEnumerable<T> sequence)
{
   return sequence.Where(e => e != null);
}

public static IEnumerable<T> WhereNotNull<T>(this IEnumerable<T?> sequence)
    where T : struct
{
   return sequence.Where(e => e != null).Select(e => e.Value);
}

This has only a single purpose, checking for null. For nullable value types it converts to the non nullable equivalent, since it's useless to preserve the nullable wrapper for values which cannot be null.

With this method, your code becomes:

list.Select(item => item.MyProperty).WhereNotNull()

You can use the OfType operator. It ignores null values in the source sequence. Just use the same type as MyProperty and it won't filter out anything else.

// given:
// public T MyProperty { get; }
var nonNullItems = list.Select(x => x.MyProperty).OfType<T>();

I would advise against this though. If you want to pick non-null values, what can be more explicit than saying you want "the MyProperties from the list that are not null"?