If create the body property as
System.Net.Mail.MailMessage message = new System.Net.Mail.MailMessage();
message.Body =\"First Line \\n second line\";
I usually like a StringBuilder when I'm working with MailMessage. Adding new lines is easy (via the AppendLine method), and you can simply set the Message's Body equal to StringBuilder.ToString() (... for the instance of StringBuilder).
StringBuilder result = new StringBuilder("my content here...");
result.AppendLine(); // break line