Anonymous types are a later addition to C#, and are not included in the version of Mono that Unity uses.
Unity is also missing Extension methods as well.
This should be rectified soon, as the most recent version of Mono does have support for these features, however you will likely have to wait for a Major Unity release.
I read here somewhere on the forums that there are internal conflicts between the most recent version of Mono and Unity, so I think a major release is gonna be needed.
Though on the bright side 3.0 is coming closer on the horizon and fingers are crossed.