I Kept playing around and found a pure Linq to SQL solution:
Dim q = From pt In dc.PhoneTypes _
Where Not (Not (From phones In dc.Phones _
Where phones.PhoneTypeID = pt.PhoneTypeID And phones.ContactID = ContactGUID _
Select New With {phones.PhoneTypeID}).Single() Is Nothing) _
Select pt.PhoneTypeID, pt.PhoneTypes
I hope this helps someone...