You need to casting the retrieved item as FieldLookupValue to process further.
ClientContext ctx = new ClientContext("http://win-gc3f02d6lkq/sites/apps");
var list = ctx.Web.Lists.GetByTitle("Cities");
CamlQuery query = new CamlQuery();
query.ViewXml =" ";
ListItemCollection items = list.GetItems(query);
ctx.Load(items);
ctx.ExecuteQuery();
foreach(var item in items)
{
var lookUpId = item ["Country"] as FieldLookupValue;
Console.WriteLine(item["Title"].ToString() + "--" + lookUpId.LookupValue);
}
Console.ReadLine();
This will lists the city name along with country field that has been used as lookup column from the Countries Master List in the "Cities" list.