I have a scenario when I start 3..10 threads with ThreadPool. Each thread does its job and returns to the ThreadPool. What are possible options to be notified in main thread
Decrementing a variable (between threads) is a little bit risky unless done with Interlocked.Decrement, but that approach should be fine if you have the last thread (i.e. when it gets to zero) raise an event. Note that it would have to be in a "finally" block to avoid losing it in the case of exceptions (plus you don't want to kill the process).
In "Parallel Extensions" (or with .NET 4.0), you might also look at the Parallel.ForEach options here... that might be another way of getting everything done as a block. Without having to watch them all manually.