A pretty standard functional data type is the Stream. It behaves similarly to a list (in that it has a head and a tail), however with a stream the 'rest' of the list is lazily generated on demand. This allows one to create a data structure that can represent an infinite sequence without the storage requirements (helpful if you only need the first few values).
This is similar to what we have in the base class libraries with IEnumerator
With the functional streams you can can move down the stream without affecting state. So i can be looking at any section of it without any issues. Another nice thing is that it's trivially easy to get a subsequence of the stream, or to append two streams together. This is much easier to do now in C# with the addition of iterators to the language, however, you still get destructive iterators in the process.