.NET EF Issues

I've found the .NET entity framework less than forgiving thus far (out of context entities f'rinstance). Aside from that, can anyone shed any light on why the following is foo and bar'd?

Code:

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// Removed extraneous sanity checking
IEnumerable<DataAccess.User> users = from u in ent.Context.UserSet
  where u.Application.ApplicationId == this.Application.ApplicationId
  where u.LoweredUserName == userName.ToLower()
  select u;

DataAccess.User user = users.First();
DataAccess.Profile profile = user.Profile // Is always null, what gives?
DataAccess.Profile profile2 = (from p in ent.Context.ProfileSet
  where p.UserId == user.UserId
  select p).First(); // This works fine, and is how the entity relationship is configured for User.Profile.

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Any more info needed let me know.