Shouldn't the request really be "Convince my users/customers to move from .NET 2.0 to 3.5"
You didn't say whether you're writing code for a customer/user or just as a hobby. If it's the latter then yes, it's all about convincing you.
Otherwise, I can't see your customer being really excited about you being able to use Linq in your code, unless it will let you get things done substantially quicker and more reliably then before.
Of course if you're an experienced 2.0 developer you most likely are already very efficient even without lambdas, query syntax etc. Sure, they would provide some improvements but probably not great enough to excite your customer.
Now, if your customer comes to you and says, I want my new desktop application to have a GUI like one of those web pages with fancy animations etc, then it's obvious. You should seriously look at going to .NET 3.0/3.5 for Windows Presentation Foundation etc.
In summary, if there is a real and tangible reason to use newer technologies, go for it, otherwise it's often costly to get up to speed with a new platform/environment without direct benefit.