WHY USE WHERE CLAUSE BEFORE SELECT STATEMENT IN LINQ 3.5

Its important to think of the SELECT and WHERE slightly differently than you do with SQL.  SELECT is for projection or transformation.  That means you use SELECT to transform one item into another or you can use select to transform an item into itself.  A WHERE clause is for filtering. It takes a predicate and based on a boolean, filters the results.  You do not need to have SELECT to perform a WHERE.  For example, the following is perfectly legal:
 
var collection = new int[]{1, 2, 3, 4, 5, 6};
var itemsGreaterThan3 = collection.Where(x => x > 3);