I think you just need to select what you want, at the end, like so:
DateTime dateFrom = new Date(2014,8,2);
var GroupedPrices = Prices
.Where(p => p.ArrivalDateFrom <= dateFrom && p.ArrivalDateTo > dateFrom)
.GroupBy(p => p.ItemID)
.Select(g => new{ ItemId = g.Key, NewestPrice = g.OrderByDescending(p => p.ValidFrom).First() });