How about:

var x = from c in dt.Columns.Cast<DataColumn>()
        select c.ColumnName;

You could also use:

var x = from DataColumn c in myDataTable.Columns
        select c.ColumnName

It will effectively do the same as Dave's code: "in a query expression, an explicitly typed iteration variable translates to an invocation of Cast(IEnumerable)", according to the Enumerable.Cast<TResult> Method MSDN article.