Observable is the cornerstone of the Rx library. They provide pretty much all the implementations and operators you’ll need. The idea behind IObservable<T> and Rx is not just the “handling” of events, but enabling “LINQ to Events.” So you can easily compose “event streams,” which gives you a lot of power compared to regular event handling.
Note that the sample MSDN implementation of IObservable<T> is incorrect; the doc team has been notified.