How to intercept method calls in C#

I wouldn't use inheritance - you can use composition here. Create your own class which has the same methods - or in fact only the ones you're interested in - and delegate through that. That way you can be sure you won't "miss" any methods accidentally, because anything you don't implement won't be callable through the rest of your codebase... so long as you make sure the rest of your code doesn't refer to the original library class, of course.

You can investigate PostSharp, which is a commercial product that can inject IL into compiled assemblies to perform aspect oriented programming. You can define different kind of behaviour that should happen before and after a method gets executed, for example, which seems to be what you want. This way, as PostSharp handles this in a post-compilation step, you don't need to create any inherited classes from the classes that you want to intercept.

Otherwise if you want a more "pure" solution I would follow Jon's advice about creating a new class that wraps the functionality of the one that you want to intercept. (see Decorator pattern) .