Events are really syntactic sugar over a list of delegates. When you invoke the event, this is really iterating over that list and invoking each delegate with the parameters you have passed.
The problem with threads is that they could be adding or removing items from this collection by subscribing/unsubscribing. If they do this while you are iterating the collection this will cause problems (I think an exception is thrown)
The intent is to copy the list before iterating it, so you are protected against changes to the list.
Note: It is however now possible for your listener to be invoked even after you unsubscribed, so you should make sure you handle this in your listener code.
