Via Coders4fun:

When we want to use a Thread in C#, we usually write a method with the code that the Thread must execute, and when we create the Thread object we set its delegate to the method already created:

public void DoSomethingUsefull()
{
    for (int i = 0; i < 100; i++)
    {
        // doing something...
        Thread.Sleep(500);
    }
}
static void Main()
{
    // here we create the thread, passing to it the right delegate
    Thread t = new Thread(DoSomethingUsefull);
    t.Name = "Test Thread";
    t.Start();
}

To create a Thread, C# offers the opportunity to use anonymous methods. To use an anonymous method, we need to write the Thread's code inside the code that creates the Thread using the delegate keyword:

static void Main()
{
    // this time we create the thread using an anonymous method declared "on the fly"
    Thread t = new Thread(delegate()
    {
        for (int i = 0; i < 100; i++)
        {
            // doing something...
            Thread.Sleep(500);
        }
    });
    t.Name = "Test Thread";
    t.Start();
}

This time we used an anonymous method, avoiding the declaration of a new method with the Thread's code.
I think that the use of anonymous methods isn't a good programming pratice:
Separing the code to execute in the Thread from the remaining code contribute to the clarity and the riusability of the code, but if we need to create a Thread with very few rows of code, anonymous methods can be a relaxing help!