SPARQL is a standard query language for retrieving and manipulating RDF data. However, the majority of SPARQL implementations require the data to be available in advance, i.e., to exist in main memory or in a RDF repository (accessible through a SPARQL endpoint). Nonetheless, Linked Data exists in the Web in various forms; even an HTML Web page can contain RDF data through RDFa, or RDF data may be dynamically created by a Web Service. In this paper, we propose and demonstrate an extension of SPARQL 1.1, called SPARQL-LD, that allows to directly and flexibly exploit this wealth of data. SPARQL-LD allows to fetch, query and integrate in the same SPARQL query: i) data coming from online RDF or JSON-LD files, ii) data coming from dereferenceable URIs, iii) data embedded in Web pages as RDFa, iv) data that is dynamically created by Web Services, and v) data coming by querying other endpoints. A distinctive characteristic of this extension is that it enables to fetch and query even data in datasets returned by a portion of the query, i.e. discovered at query-execution time.