Beginners threading in C#
As well as my own articles linked by Andrew, Joe Albahari has another tutorial.
If you want a really thorough examination, read Joe Duffy's Concurrent Programming in Windows.
Here is a good set of articles by our very own Jon Skeet:
http://www.yoda.arachsys.com/csharp/threads/
I found this free ebook by Joseph Albahari really useful