Don't automatically populate the connection when creating a new query
Sometimes when I start up a new query, I type a single C# expression like "Environment.OSVersion" and then hit run. It doesn't execute instantly and I look at the status bar and see "Fetching Schema...". Then I see that LINQPad automatically assumed that I was going to use the connection I used last time I wrote a query and added it for me. Although this may be useful for someone who uses LINQPad exclusively for querying a single database, this is annoying for others who use it as a C# scratchpad or frequently query different data sources.