The most straightforward way I can think to do this involves stepping outside the "from...in" syntax a bit:
var myClubs = from aClub in myDB.Club where aClub.Users.Any(aUser => aUser.City == city) select aClub;
This assumes that the navigation property from Club to User is named "Users" (if you haven't changed anything, it's probably "User").
Ah, thanks for the reply I will give this a try in a bit and let you know what happens
Quick question though - what is the main reason why my initial version was not working? Did I miss something obvious or is this a matter of lack of support in Linq for a particular type of query? (during runtime since VS does not complain at compiletime).