如果不想延迟加载，可以通过设置：context.Configuration.LazyLoadingEnabled = false;或查询时加上AsNoTracking()方法即可。
如果不想生成代理，可以通过设置：context.Configuration.ProxyCreationEnabled = false;
注意当context.Configuration.ProxyCreationEnabled = false;时延迟加载也就不生效，原理很简单，因为没有代理。
当禁用延迟加载后，关联属性（导航属性）不会被实例化，这时如果需要实例化该属性，则需要通过Include方法，意为显式加载（也有人称为饥饿加载），具体的用法也可参见我之前的文章：http://www.cnblogs.com/zuowj/p/4514230.html
好了有了上面知识的了解，我们想实现一次性加载所有内容包含关联属性的值，且不要生成代理对象，就很简单了，我项目中的语句如下：
var context = new LocalDbEntities();
context.Configuration.LazyLoadingEnabled = false;
context.Configuration.ProxyCreationEnabled = false;
result=context.Set().Where(t => true).Include(t => t.TA_CWBankAccountInfo).GroupBy(t => t.TA_CWBankAccountInfo.bkcode)
.ToDictionary(gp => gp.Key, gp => gp.ToList());
代码简单说明一下，TA_CWTransferRequestInfo有一个关联属性TA_CWBankAccountInfo，我想实现依据TA_CWBankAccountInfo.bkcode来分组并存入Dictionary中，最后我需要用到TA_CWTransferRequestInfo.TA_CWBankAccountInfo属性的信息，原本以为没有问题，但实际使用时，却报错：无法对 null 引用执行运行时绑定，经DEBUG时发现TA_CWTransferRequestInfo.TA_CWBankAccountInfo=null，这就有点不解了，明明我使用了Include，为何没有加载呢？不解之余查看了一下上述LINQ生成的SQL语句如下：
SELECT
[Project2].[C1] AS [C1],
[Project2].[bkcode] AS [bkcode],
[Project2].[C2] AS [C2],
[Project2].[id] AS [id],
[Project2].[fromactacn] AS [fromactacn],
[Project2].[toactacn] AS [toactacn],
[Project2].[toibkn] AS [toibkn],
[Project2].[toname] AS [toname],
[Project2].[toaddr] AS [toaddr],
[Project2].[tobknm] AS [tobknm],
[Project2].[tobkcode] AS [tobkcode],
[Project2].[trnamt] AS [trnamt],
[Project2].[trncur] AS [trncur],
[Project2].[priolv] AS [priolv],
[Project2].[furinfo] AS [furinfo],
[Project2].[trfdate] AS [trfdate],
[Project2].[trftime] AS [trftime],
[Project2].[comacn] AS [comacn],
[Project2].[field1] AS [field1],
[Project2].[field2] AS [field2],
[Project2].[field3] AS [field3],
[Project2].[field4] AS [field4],
[Project2].[field5] AS [field5],
[Project2].[field6] AS [field6],
[Project2].[field7] AS [field7],
[Project2].[field8] AS [field8],
[Project2].[processing] AS [processing],
[Project2].[transtype] AS [transtype],
[Project2].[trfmode] AS [trfmode],
[Project2].[createdt] AS [createdt],
[Project2].[lastupdatedt] AS [lastupdatedt],
[Project2].[lastrspid] AS [lastrspid],
[Project2].[rowversion] AS [rowversion],
[Project2].[lyd_guid] AS [lyd_guid]
FROM ( SELECT
[Distinct1].[bkcode] AS [bkcode],
1 AS [C1],
[Join2].[id] AS [id],
[Join2].[fromactacn] AS [fromactacn],
[Join2].[toactacn] AS [toactacn],
[Join2].[toibkn] AS [toibkn],
[Join2].[toname] AS [toname],
[Join2].[toaddr] AS [toaddr],
[Join2].[tobknm] AS [tobknm],
[Join2].[tobkcode] AS [tobkcode],
[Join2].[trnamt] AS [trnamt],
[Join2].[trncur1] AS [trncur],
[Join2].[priolv] AS [priolv],
[Join2].[furinfo] AS [furinfo],
[Join2].[trfdate] AS [trfdate],
[Join2].[trftime] AS [trftime],
[Join2].[comacn] AS [comacn],
[Join2].[field11] AS [field1],
[Join2].[field21] AS [field2],
[Join2].[field31] AS [field3],
[Join2].[field41] AS [field4],
[Join2].[field51] AS [field5],
[Join2].[field6] AS [field6],
[Join2].[field7] AS [field7],
[Join2].[field8] AS [field8],
[Join2].[processing] AS [processing],
[Join2].[transtype] AS [transtype],
[Join2].[trfmode] AS [trfmode],
[Join2].[createdt] AS [createdt],
[Join2].[lastupdatedt1] AS [lastupdatedt],
[Join2].[lastrspid] AS [lastrspid],
[Join2].[rowversion1] AS [rowversion],
[Join2].[lyd_guid] AS [lyd_guid],
CASE WHEN ([Join2].[priolv] IS NULL) THEN CAST(NULL AS int) ELSE 1 END AS [C2]
FROM (SELECT DISTINCT
[Extent2].[bkcode] AS [bkcode]
FROM [dbo].[TA_CWTransferRequestInfo] AS [Extent1]
INNER JOIN [dbo].[TA_CWBankAccountInfo] AS [Extent2] ON [Extent1].[fromactacn] = [Extent2].[actacn] ) AS [Distinct1]
LEFT OUTER JOIN (SELECT [Extent3].[id] AS [id], [Extent3].[fromactacn] AS [fromactacn], [Extent3].[toactacn] AS [toactacn], [Extent3].[toibkn] AS [toibkn], [Extent3].[toname] AS [toname], [Extent3].[toaddr] AS [toaddr], [Extent3].[tobknm] AS [tobknm], [Extent3].[tobkcode] AS [tobkcode], [Extent3].[trnamt] AS [trnamt], [Extent3].[trncur] AS [trncur1], [Extent3].[priolv] AS [priolv], [Extent3].[furinfo] AS [furinfo], [Extent3].[trfdate] AS [trfdate], [Extent3].[trftime] AS [trftime], [Extent3].[comacn] AS [comacn], [Extent3].[field1] AS [field11], [Extent3].[field2] AS [field21], [Extent3].[field3] AS [field31], [Extent3].[field4] AS [field41], [Extent3].[field5] AS [field51], [Extent3].[field6] AS [field6], [Extent3].[field7] AS [field7], [Extent3].[field8] AS [field8], [Extent3].[processing] AS [processing], [Extent3].[transtype] AS [transtype], [Extent3].[trfmode] AS [trfmode], [Extent3].[createdt] AS [createdt], [Extent3].[lastupdatedt] AS [lastupdatedt1], [Extent3].[lastrspid] AS [lastrspid], [Extent3].[rowversion] AS [rowversion1], [Extent3].[lyd_guid] AS [lyd_guid], [Extent4].[bkcode] AS [bkcode]
FROM [dbo].[TA_CWTransferRequestInfo] AS [Extent3]
INNER JOIN [dbo].[TA_CWBankAccountInfo] AS [Extent4] ON [Extent3].[fromactacn] = [Extent4].[actacn] ) AS [Join2] ON ([Distinct1].[bkcode] = [Join2].[bkcode]) OR (1 = 0)
) AS [Project2]
ORDER BY [Project2].[bkcode] ASC, [Project2].[C2] ASC
看到这个SQL语句我也是醉了，与我的本意完全不同，从上面的SQL语句可以看出来：它虽然关联时有用到[TA_CWBankAccountInfo]，但最后只查出[TA_CWTransferRequestInfo]的字段，当然也就无法实例化关联的TA_CWBankAccountInfo属性了，最后得出结论，当使用GroupBy+ToDictionary时，Include方法无效。
鉴于上述结论，我将上述语句稍微作了一下调整，就成功通过测试了，更改后的语句：
var context = new LocalDbEntities();
context.Configuration.LazyLoadingEnabled = false;
context.Configuration.ProxyCreationEnabled = false;
return context.Set().Where(t => true).Include(t => t.TA_CWBankAccountInfo).ToList().GroupBy(t => t.TA_CWBankAccountInfo.bkcode)
.ToDictionary(gp => gp.Key, gp => gp.ToList());
发现区别了没有？我只是在Include后加了一个ToList()方法就可以了，目的是先从数据库查询出符合条件的数据（包含关联的数据），然后再在本地进行GroupBy操作，可以看一下生成的SQL语句：
SELECT
[Extent1].[priolv] AS [priolv],
[Extent1].[id] AS [id],
[Extent1].[fromactacn] AS [fromactacn],
[Extent1].[toactacn] AS [toactacn],
[Extent1].[toibkn] AS [toibkn],
[Extent1].[toname] AS [toname],
[Extent1].[toaddr] AS [toaddr],
[Extent1].[tobknm] AS [tobknm],
[Extent1].[tobkcode] AS [tobkcode],
[Extent1].[trnamt] AS [trnamt],
[Extent1].[trncur] AS [trncur],
[Extent1].[furinfo] AS [furinfo],
[Extent1].[trfdate] AS [trfdate],
[Extent1].[trftime] AS [trftime],
[Extent1].[comacn] AS [comacn],
[Extent1].[field1] AS [field1],
[Extent1].[field2] AS [field2],
[Extent1].[field3] AS [field3],
[Extent1].[field4] AS [field4],
[Extent1].[field5] AS [field5],
[Extent1].[field6] AS [field6],
[Extent1].[field7] AS [field7],
[Extent1].[field8] AS [field8],
[Extent1].[processing] AS [processing],
[Extent1].[transtype] AS [transtype],
[Extent1].[trfmode] AS [trfmode],
[Extent1].[createdt] AS [createdt],
[Extent1].[lastupdatedt] AS [lastupdatedt],
[Extent1].[lastrspid] AS [lastrspid],
[Extent1].[rowversion] AS [rowversion],
[Extent1].[lyd_guid] AS [lyd_guid],
[Extent2].[actacn] AS [actacn],
[Extent2].[ibknum] AS [ibknum],
[Extent2].[actnam] AS [actnam],
[Extent2].[bknm] AS [bknm],
[Extent2].[bkcode] AS [bkcode],
[Extent2].[addr] AS [addr],
[Extent2].[actacnas] AS [actacnas],
[Extent2].[trncur] AS [trncur1],
[Extent2].[field1] AS [field11],
[Extent2].[field2] AS [field21],
[Extent2].[field3] AS [field31],
[Extent2].[field4] AS [field41],
[Extent2].[field5] AS [field51],
[Extent2].[lastupdatedt] AS [lastupdatedt1],
[Extent2].[rowversion] AS [rowversion1]
FROM [dbo].[TA_CWTransferRequestInfo] AS [Extent1]
INNER JOIN [dbo].[TA_CWBankAccountInfo] AS [Extent2] ON [Extent1].[fromactacn] = [Extent2].[actacn]
这个SQL语句是既简洁又明了，符合我的意图，从遇到的这个坑得到启示，有时不要把问题复杂化，换个角度看问题或许能找到更好的解决办法。