use the following line on your DataContext to log the SQL activity on the DataContext to the console - then you can see exactly what your linq statements are requesting from the database:
_db.Log = Console.Out
The following LINQ statements:
var movies = from row in _db.Movies
orderby row.CategoryID, row.Name
select row;
AND
var movies = _db.Movies.OrderBy(m => m.CategoryID).ThenBy(m => m.Name);
produce the following SQL:
SELECT [t0].ID, [t0].[Name], [t0].CategoryID
FROM [dbo].[Movies] as [t0]
ORDER BY [t0].CategoryID, [t0].[Name]
Whereas, repeating an OrderBy in Linq, appears to reverse the resulting SQL output:
var movies = from row in _db.Movies
orderby row.CategoryID
orderby row.Name
select row;
AND
var movies = _db.Movies.OrderBy(m => m.CategoryID).OrderBy(m => m.Name);
produce the following SQL (Name and CategoryId are switched):
SELECT [t0].ID, [t0].[Name], [t0].CategoryID
FROM [dbo].[Movies] as [t0]
ORDER BY [t0].[Name], [t0].CategoryID