While I was looking into CAS changes in 2.0 I found some very good news about thread changes in 2.0. In .NET 2.0 both Thread.CurrentPrincipal and the Thread Impersonation token are now propagated amongst threads including ThreadPool.QueueUserWorkItem. The latter was a great pain to developers in .NET 1.0 particularly because Thread.CurrentPrincipal did not propagate and it created a lot of funny code to deal with the CAS impacts.
This MSDN article delves into these changes. http://msdn.microsoft.com/msdnmag/issues/04/11/NETMatters/