Assuming you want a list containing all of the products for the specified category-Ids, you can treat your query as a projection followed by a flattening operation. There's a LINQ operator that does that: SelectMany
.
// implicitly List<Product>
var products = new[] { CategoryId1, CategoryId2, CategoryId3 }
.SelectMany(id => GetAllProducts(id))
.ToList();
In C# 4, you can shorten the SelectMany to: .SelectMany(GetAllProducts)
If you already have lists representing the products for each Id, then what you need is a concatenation, as others point out.