I have a statement where a string is assigned in the following manner:
for (int i = 0; i < x; i++)
{
Foo.MyStringProperty = \"Bar_\" + i.ToString();
As already mentioned by Jon Skeet, the point about boxing is very important!
If you use explicitly ToString() there is no boxing, which means that no object-box is created around i. The object box around i has to be thrown away later on by the Garbage Collector, causing a performance penalty.
If you are doing it only a few times in your program it does not matter, but if you are boxing very often, you should go for the ToString() version.