Using CAML Queries is the only supported way to query external lists. It comes in very handy If you want to retrieve external data within a sandboxed application, without using a full-trust proxy. However using CAML Queries with external lists comes with some gotchas. Consider the following snippet :

SPQuery query = new SPQuery();
query.Query = “<Method Name=’ReadList’ />” +
“<OrderBy><FieldRef Name=\”CustomerID\”/></OrderBy>” +
“<RowLimit Paged=\”TRUE\”>10</RowLimit>” +
“<Aggregations Value=\”Off\”/>”;

SPListItemCollection items = lstCustomers.GetItems(query);

Unfortunately, this query just ignores the RowLimit and returns all the data from the external data source and not only the first 10 items as specified in the query. This is a known issue!

For more information :

http://social.technet.microsoft.com/Forums/en-US/sharepoint2010programming/thread/7a86ba74-ea19-42f3-bde9-690542c84552