As indicated in one of the comments below, .Net 4.5 allows this via a static method on the Comparer<> class, e.g. comparing two objects based on the value of a property in the class:
var comparer = Comparer<KilowattSnapshot>.Create(
(k1, k2) => k1.Kilowatt.CompareTo(k2.Kilowatt) );
Obviously this can be used inline rather than assigned to a variable.