If you rely on garbage collector, sooner or later you will be hit by the out of memory exception:-)

About memory leaks:

• Large Object Heap Uncovered
  
• How To: Use CLR Profiler (MSDN)
• How to detect and avoid memory and resources leaks in .NET applications
• .NET Memory Leak Case Study: The Event Handlers That Made The Memory Baloon
• Tracking down managed memory leaks (how to find a GC leak)
• Investigating Memory Issues
• Using GC Efficiently – Part 1
• Using GC Efficiently – Part 2
• Understanding Garbage Collection in .NET
• Debugging tools: Check out CLR Profiler 2.0, Debugging tools for Windows

About C# anonymous methods:

• The implementation of anonymous methods in C# and its consequences