I thought it would be useful (at least to me!) to summarise the new stuff in Entity Framework 4 given it actually comes in 2 parts.

The list is a simplified and categorised version of this and this.

General

  • Foreign Keys now added: EF 4 now includes a new type of associations (Foreign Key Associations) that allow you to have Foreign Key properties on your entities. They are the default although the EF v1 Independent Associations remain.
  • Lazy Loading on by Default in new Models: Also name change from Beta 1. context.ContextOptions.LazyLoadingEnabled = true is placed in the constructor
  • Support for Binary Keys: The EF now allows you to have binary property types (and varbinary storage columns) mapped as Entity Key / Foreign Key.
  • ObjectMaterialized event: Can write logic that is executed immediately after an object has been materialized. 
  • Improved Database Generation: SQL CE support has been added plus customization of database generation is significantly simpler.
  • More Improvements to the generated SQL
  • LINQ to Entities improvements

POCO

  • Improvements to POCO Support: Automatically fixes nav properties and FKs on DetectChanges and SaveChanges. Collections can also be declared as ISet<T>
  • EntityDataSource support for Query Extenders and POCO: EntityDataSource now includes support for the new ASP.NET Query Extenders and POCO entities.

Self Tracking Entities

  • Object Services API improvements to enable N-Tier and Self Tracking Entities: ObjectStateEntry.GetUpdatableOriginalValues method provides a access to an updatable data record that you can use to establish the original state of an entity at the property level.
  • Works with Foreign Key associations: Including Fix-up logic has been tidied up to be aware of FKs.
  • Support for Silverlight 3 via WCF
  • Better Silverlight and WPF Databinding support: Generated entity types now implement INotifyPropertyChanged and use ObservableCollections
  • Richer concurrency control support: Original values are preserved for all required properties according to their concurrency mode in the Entity Data Model.
  • Fewer Round Trips: The approach for managing entities with dangling references has been reengineered to avoid unnecessary database round-trips.
  • New and improved methods: AcceptChanges, StartTracking, StopTracking where added and the existing MarkAsX methods are now extension methods.
  • Generated code improvements and refactoring: The ApplyChanges implementation has been moved to the Context template.

Code Only

  • Fine Grained Control over model: Specify Navigation Property Inverses, Property Facets and Complex Types

  • Customizable Mappings: Change Table and Column Names. Support Custom Inheritance Strategy. Enable Entity Splitting and Join Table Mapping

Designer

  • Navigation Property Management: Users can now delete and add navigation properties, enabling the creation of one-way associations.
  • New Extensibility APIs: New APIs enable custom code to run on model wizards etc.
  • Auto Generation of Complex Types from Stored Procedures: Plus auto update when a stored procedure definition changes.
  • Greatly Improved Facet Management in the Designer