What is the correct usage of ConcurrentBag?
This looks like an ok use of ConcurrentBag. The thread local variables are members of the bag, and will become eligible for garbage collection at the same time the bag is (clearing the contents won't release them). You are right that a simple List with a lock would suffice for your case. If the work you are doing in the loop is at all significant, the type of thread synchronization won't matter much to the overall performance. In that case, you might be more comfortable using what you are familiar with.
Another option would be to use ParallelEnumerable.Select, which matches what you are trying to do more closely. Again, any performance difference you are going to see is likely going to be negligible and there's nothing wrong with sticking with what you know.
As always, if the performance of this is critical there's no substitute for trying it and measuring.
It seems to me that bmm6o's is not correct. The ConcurrentBag instance internally contains mini-bags for each thread that adds items to it, so item insertion does not involve any thread locks, and thus all Environment.ProcessorCount threads may get into full swing without being stuck waiting and without any thread context switches. A thread sinchronization may require when iterating over the collected items, but again in the original example the iteration is done by a single thread after all insertions are done. Moreover, if the ConcurrentBag uses Interlocked techniques as the first layer of the thread synchronization, then it is possible not to involve Monitor operations at all.
On the other hand, using a usual List<T> instance and wrapping each its Add() method call with a lock keyword will hurt the performance a lot. First, due to the constant Monitor.Enter() and Monitor.Exit() calls that each require to step deep into the kernel mode and to work with Windows synchronization primitives. Secondly, sometimes occasionally one thread may be blocked by the second thread because the second thread has not finished its addition yet.
As for me, the code above is a really good example of the right usage of ConcurrentBag class.