I love anonymous delegates - I think they are extremely useful and allow me to solve some problems in very elegant ways.  However, once you really get into them, you start to see the dark side of anonymous delegates and that is unregistration.

Here's the basic problem: when binding an instance delegate to an event to handle some activity, the delegate will cache off the instance reference - thereby keeping the reference alive.  So for example, if I had a form which wanted to process some activity from an object:

class Publisher
{
   public event EventHandler OnEvent;
   ...
}

class MainForm : Form
{
   Publisher _pub = new Publisher();
   void ActivateChildForm() 
   {
      ChildForm f = new ChildForm(_pub);
      f.Show();
   }
}

class ChildForm : Form
{
   public ChildForm(Publisher pub) 
   {
      pub.OnEvent += ProcessEvent;
   }
   void ProcessEvent(object sender, EventArgs e)
   {
      listBox1.Items.Add("Event was fired!");      
   }
}

When the ChildForm instance is closed, the form won't be collected because the Publisher (_pub) is holding a reference to it.  This is easily fixed by adding some code into the FormClosing event:

class ChildForm : Form
{
   Publisher _pub;

   public ChildForm(Publisher pub)
   {
      _pub = pub;
      _pub.OnEvent += ProcessEvent;
   }

   void FormClosing(object sender, FormClosingEventArgs e)
   {
      _pub.OnEvent -= ProcessEvent; 
   }
}