Coroutines in C#

I believe with the new .NET 4.5\C# 5 the async\await pattern should meet your needs.

async Task<string> DownloadDocument(Uri uri)
{  
  var webClient = new WebClient();
  var doc = await webClient.DownloadStringTaskAsync(url);
  // do some more async work  
  return doc;  
}  

I suggest looking at http://channel9.msdn.com/Events/TechEd/Australia/Tech-Ed-Australia-2011/DEV411 for more info. It is a great presentation.

Also http://msdn.microsoft.com/en-us/vstudio/gg316360 has some great information.

If you are using an older version of .NET there is a Async CTP available for older .NET with a go live license so you can use it in production environments. Here is a link to the CTP http://www.microsoft.com/download/en/details.aspx?displaylang=en&id=9983

If you don’t like either of the above options I believe you could follow the async iterator pattern as outlined here. http://www.microsoft.com/download/en/details.aspx?displaylang=en&id=9983