One of things that annoy me on .NET Compact Framework is lack of BackgroundWorker component that is available in full .NET Framework.
While some could argue that processors are weak and memory is sparse and thus all threading should be avoided as much as possible, I tend to disagree. If nothing else, you should use background thread every time you make a long query to database or any other action that will keep user in dark for more that a second or two.
Without further ado, here is my BackgroundWorker class. It shares syntax with Microsoft's component so you should feel like at home. It is available for download here.
It should work on Windows Mobile 5, 6 and 6.5 (and probably above).