While I was trying to write a blog around the topic of Delegates in J#, I found that a few blogs have already done this job pretty well. So I am not going to re-invent the wheel. I would just point you to the appropriate links for all information about delegates in J# (both System.Delegate and com.ms.lang.Delegate)
So here are the links
Also, if you are interested, here is a whitepaper on The Delegate Type in J#.
Hope this helps. In case you have any questions, feel free to write back to me.