So, when creating a .NET 2.0 project in VS 2010/2012, can I use lamda's / Linq etc?
I have a page for exactly this sort of thing. Some features are framework-specific (or CLR-specific), and some aren't.
For example, you can use lambda expressions, anonymous types, and automatically implemented properties with .NET 2.0 with no problems.
You can use LINQ to Objects if you provide an alternative implementation such as LINQBridge. Other LINQ providers (LINQ to SQL etc) may apparently be possible using libraries from Mono, but personally I'd rather upgrade to a later version of the framework if at all possible.
You won't be able to use dynamic typing from C# 4, as it requires types which are only present in .NET 4, and which I don't think are easy to backport in a compatible manner. (It may be possible, as there at least was a version of the DLR for .NET 3.5, but whether that plays nicely with the C# 4 compiler is a different matter.)