var query = from e in ctx.员工
             let skills = (from s in ctx.员工技能 select new { s.employeeID, s.技能分类.skillName })
             let hobbies = (from h in ctx.员工业余爱好 select new { h.employeeID, h.业余爱好分类.hobbyName })
             select new
             {
                 e.employeeID,
                 e.name,
                 ss = skills.Where(x => x.employeeID == e.employeeID).Select(x => x.skillName),
                 hs = hobbies.Where(x => x.employeeID == e.employeeID).Select(x => x.hobbyName),
             };
 foreach (var q in query)
 {
     Console.WriteLine("{0}\t{1}\t{2}", q.employeeID, string.Join(",", q.ss), string.Join(",", q.hs));
 }

------解决方案--------------------

SQL code

INSERT INTO Employee SELECT 'Tim',30,'China','10086' UNION ALL
SELECT 'Jim',22,'China','10086' UNION ALL
SELECT 'Tom',25,'China','10086' UNION ALL
SELECT 'Jack',38,'China','10086'  

INSERT INTO Skill SELECT 'C#' UNION ALL
SELECT 'java' UNION ALL
SELECT 'JS' UNION ALL
SELECT 'CSS' UNION ALL
SELECT 'LINQ'  

INSERT INTO EmpSkill SELECT 1,1 UNION ALL
 SELECT 1,3 UNION ALL
  SELECT 1,5 UNION ALL
   SELECT 2,2  

INSERT INTO Hobby SELECT '篮球' UNION ALL
SELECT 'dotnet' UNION ALL
SELECT 'photoshop' UNION ALL
SELECT '3d'  

INSERT INTO EmpHobby SELECT 1,1 UNION ALL
SELECT 1,2 UNION ALL
SELECT 2,3 UNION ALL
SELECT 2,4 UNION ALL
SELECT 4,1 UNION ALL
SELECT 4,2

------解决方案--------------------

既能 关系 都建好了， 那 实体类之间就有关系,试着 用关系 看看。
C# code

     var query= from e in Employee
                select new
                {
                   Name=e.Name,
                   Age=e.Age,
                   EmpHobby=string.Join(",",e.EmpHobbies.Select(s=>s.HobbyName)),
                   Skill=string.Join(",",e.EmpSkills.Select(s=>s.SkillName))
                };