To add to the link-fest, Raymond Chen did a nice little series on C# iterators a few months ago:
- http://blogs.msdn.com/oldnewthing/archive/2008/08/12/8849519.aspx
- http://blogs.msdn.com/oldnewthing/archive/2008/08/13/8854601.aspx
- http://blogs.msdn.com/oldnewthing/archive/2008/08/14/8862242.aspx
- http://blogs.msdn.com/oldnewthing/archive/2008/08/15/8868267.aspx