Some other comments touched on the async world... but I'll comment anyway since my favorite 'flavor' of doing such has been mentioned:
ThreadPool.QueueUserWorkItem(delegate
{
// This code will run on it's own thread!
});
Also, a huge reason for delegates is for "CallBacks". Let's say I make a bit of functionality (asynchronously), and you want me to call some method (let's say "AlertWhenDone")... you could pass in a "delegate" to your method as follows:
TimmysSpecialClass.DoSomethingCool(this.AlertWhenDone);