The System.ComponentModel.BackgroundWorker class makes it easy to code a long running operation with the ability to provide progress, cancellation, and notification of completion. It is particularly nice for UI because while the long running operation executes on a thread pool thread, notifications of progress and completion are marshalled back to the "main" thread. (When I say "main" thread, I mean the one on which BackgroundWorker.RunWorkerAsync() is called.)

These are the steps for using BackgroundWorker:

Setup

1. Create an instance of System.ComponentModel.BackgroundWorker. This can be done manually, or by adding one as a component with the form designer if you're doing UI. Usually you want to store this in a member variable so that the instance is available from the DoWork event handler.
2. Add a handler for the BackgroundWorker.DoWork event. This handler should implement the long running operation, and will be invoked from another thread.
3. If you want progress, add a handler for the BackgroundWorker.ProgressChanged event and set the BackgroundWorker.WorkerReportsProgress property to true. This event handler will be called on the "main" thread. If you forget to enable progress by setting the property, you'll get an InvalidOperationException if you try to provide progress.
4. If you want to allow cancellation, set the BackgroundWorker.WorkerSupportsCancellation property to true. Likewise, you'll get an InvalidOperaitonException if you skip this step and try to cancel.
5. To get notification of completion, add a handler for the BackgroundWorker.RunWorkerCompleted event. This event handler will be called on the "main" thread when the long running operation stops, either because it is finished or it was cancelled.

Start

1. Start the long running operation by calling BackgroundWorker.RunWorkerAsync. You can optionally pass in an object that the long running operation can retrieve from the DoWorkEventArgs.Argument property.

On the Main Thread

1. Call BackgroundWorker.CancelAsync() if the long running operation ought to be cancelled. Since the main thread isn't blocked, this could be in response to a Cancel button being pressed, for example.
2. Handle ProgressChanged events, if needed. The ProgressChangedEventArgs.ProgressPercentage could be used to update a progress bar. Additional progress state can be passed from the long running operation through the ProgressChangedEventArgs.UserState property. 
3. Handle the RunWorkerCompleted event. There are several properties on the RunWorkerCompletedEventArgs that can be populated from the long running operation. The Error property has an Exception object if one was thrown in the long running operation. The Cancelled property tells whether the operation was cancelled (but see the steps on the worker thread below). The Result property can be used to retrieve a final outcome of the long running operation.

On the Worker Thread

1. Do whatever work is required. If the operation throws an exception, the main thread can retrieve the exception from the RunWorkerCompletedEventArgs.Error property.
2. Check the BackgroundWorker.CancellationPending property. If the property is true, cancel the long running operation. Also, when the operation is cancelled, you should set DoWorkEventArgs.Cancel to true so that the RunWorkerCompletedEventArgs.Cancelled will also be true.
3. Call BackgroundWorker.ReportProgress as appropriate. You can pass a percent complete and an object with additional progress state if desired.
4. Set the DoWorkEventArgs.Result property when finished. The main thread can retrieve the result, if there is anything interesting to pass back to the main thread. 

This post was inspired by Chapter 16 of Essential C# 2.0 by Mark Michaelis.