In the help for LinearModelFit, the regression line can be added to the scatter plot like this:
Show[ListPlot[data], Plot[lm[x], {x, 0, 5}]]
Is it possible to fill from the points to the regression line? This can illustrate the distance whose sum of squares is being minimized. I tried variations on this:
Filling -> Table[ lm[data[[i]][[2]]], {i, Length[data]}]]
Here the Table will be a list of predicted values for y at each observation of x, but this results in the error "not a valid filling specification."