I am using Linq to Entities.
Have an entity "Order" which has a nullable column "SplOrderID".
I query my Orders list as
List<int> lst = Orders.where(u=> u.SplOrderID != null).Select(u => u.SplOrderID);
As you are selecting the property, just get the value of the nullable:
List<int> lst = Orders.Where(u => u.SplOrderID != null) .Select(u => u.SplOrderID.Value) .ToList();