SSRS distinct lookupset function

You don't need Linq, but you do still need custom code (in BIDS go to Report -> Report Properties -> Code)

You can put a RemoveDuplicates function in here, something like this:

Public Shared Function RemoveDuplicates(m_Array As Object()) As String()

    System.Array.Sort(m_Array)
    Dim k As Integer = 0
    For i As Integer = 0 To m_Array.Length - 1
        If i > 0 AndAlso m_Array(i).Equals(m_Array(i - 1)) Then
            Continue For
        End If
        m_Array(k) = m_Array(i)
        k += 1
    Next

    Dim unique As [String]() = New [String](k - 1) {}

    System.Array.Copy(m_Array, 0, unique, 0, k)

    Return unique

End Function

To use it in your Join:

Join(Code.RemoveDuplicates(LookupSet(...)),",")

I agree with @user3697615 that Report Code is best. However, I prefer to build it straight into a string:

public shared function JoinDistinct(
  dups as object(),
  delimiter as string
) as string

  dim result as string = ""
  system.array.sort(dups)

  for i as integer = 0 to dups.length - 1
    if i <> 0 then result += delimiter
    if i = 0 orElse dups(i) <> dups(i-1) then result += dups(i)
  next i

  return result

end function

This way, we eliminate one nested function on the call:

=Code.JoinDistinct(LookupSet(...), ",")