Quick note on the accepted answer: I disagree with a small part of Jeffrey\'s answer, namely the point that since Delegate
had to be a referenc
There is only one reason that Delegate needs to be a class, but it's a big one: while a delegate could be small enough to allow efficient storage as a value type (8 bytes on 32-bit systems, or 16 bytes on 64-bit systems), there's no way it could be small enough to efficiently guarantee if one thread attempts to write a delegate while another thread attempts to execute it, the latter thread wouldn't end up either invoking the old method on the new target, or the new method on the old target. Allowing such a thing to occur would be a major security hole. Having delegates be reference types avoids this risk.
Actually, even better than having delegates be structure types would be having them be interfaces. Creating a closure requires creating two heap objects: a compiler-generated object to hold any closed-over variables, and a delegate to invoke the proper method on that object. If delegates were interfaces, the object which held the closed-over variables could itself be used as the delegate, with no other object required.