Sahil Malik has come up with a good post on using ParameterizedThreadStart. One of the things that I wanted to point out whilst reading his post was that other nice thing about delegates that was introduced in C# 2.0 where you can convert method names to delegates automatically where a delgate is expected. The following picture is a simple piece of threading code that declares the parameterized thread start explicitly.
The following code instansiates the thread specifying the target without explicitly instansiating the delegate. This is referred to as method group conversion syntax. A nice little language feature.