In Visual Studio, when you switch tabs in the editor, the current file is selected in Solution Explorer (unless you have disabled the feature). This makes it really easy to find the file.

I often find myself scanning up and down the connections list in LinqPad, looking for the current conection.

What would be really helpful is if the current tab's connection were selected. Maybe I'm unusual, but I have a lot of connections, many of them similar (different versions of a database, test, staging and live, etc).