I saw an interesting question posted in one of the Microsoft newsgroups today. I'll paraphrase here:
I can use anonymous methods with something like the Thread class ctor:
Thread t = new Thread(delegate() { Console.WriteLine("new thread"); });
But if I try the same thing with Control.Invoke:
this.Invoke(delegate() { MessageBox.Show("Hello"); });
I get an error: "Argument '1': cannot convert from 'anonymous method' to 'System.Delegate'
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.