With the introduction of the Task Parallel Library (TPL) within .NET 4.0, creating a Task rather than a Thread is now the preferred way to create multithreaded applications.
Here is an example showing the creation of a thread using the old style Threading vs the new Tasks:
Why chose Task over Threading?
Behind the scenes, tasks are queued to the ThreadPool, which has been enhanced with algorithms (like hill-climbing) that determine and adjust to the number of threads that maximizes throughput. This makes tasks relatively lightweight, and you can create many of them to enable fine-grained parallelism. To complement this, widely-known work-stealing algorithms are employed to provide load-balancing.