http://blog.csdn.net/xiaochongchong1248/archive/2009/11/20/4841193.aspx?1271573283

编程环境要求：VS2008/FX2.0
众所周知，从VS2005/FX2.0起，在多线程环境下是不允许跨线程修改主线程上窗口控件的。
private void button1_Click( object sender, EventArgs e)
Thread t = new Thread( new ThreadStart(CrossThreadCall));
t.Start();
public void CrossThreadCall()
Text = " test " ;
未处理 System.InvalidOperationException
Message="线程间操作无效: 从不是创建控件“Form1”的线程访问它。"
Source="System.Windows.Forms"
StackTrace:
在 System.Windows.Forms.Control.get_Handle()
在 System.Windows.Forms.Control.set_WindowText(String value)
在 System.Windows.Forms.Form.set_WindowText(String value)
在 System.Windows.Forms.Control.set_Text(String value)
在 System.Windows.Forms.Form.set_Text(String value)
在 delegate_test1.Form1.CrossThreadCall() 位置 f:\app\delegate_test1\delegate_test1\Form1.cs:行号 26
在 System.Threading.ThreadHelper.ThreadStart_Context(Object state)
在 System.Threading.ExecutionContext.Run(ExecutionContext executionContext, ContextCallback callback, Object state)
在 System.Threading.ThreadHelper.ThreadStart()
通用的解决方法是使用Control.Invoke方法来调用一个Delegate，从而安全地跨线程调用。
等我把Google翻了一遍后，找到了答案。

The problem the user is seeing is that the Thread ctor accepts a specific delegate -- the ThreadStart delegate.  The C# compiler will check and make sure your anonymous method matches the signature of the ThreadStart delegate and, if so, produces the proper code under-the-covers to create the ThreadStart delegate for you.

But Control.Invoke is typed as accepting a "Delegate".  This means it can accept any delegate-derived type.  The example above shows an anonymous method that has a void return type and takes no parameters.  It's possible to have a number of delegate-derived types that match that signature (such as MethodInvoker and ThreadStart -- just as an example).  Which specific delegate should the C# compiler use?  There's no way for it to infer the exact delegate type so the compiler complains with an error.
也就是说，对于Thread.ctor()来说，由于接受的是一个ThreadStart委托，编译器便可以将匿名函数与ThreadStart委托类型匹配，最后能够正确编译。
而对于Control.Invoke()来说，任何的代理类型都是可接受的，也就是说ThreadStart和MethodInvoker都是可以接受的类型。这样编译器反而不知道应该用哪个代理去匹配匿名函数了，导致了编译错误的发生。
知道了原因，问题就很容易解决了。我们只需要加上MethodInvoker这个wrapper就能使用匿名函数了。