C# 3.5 Delegate Syntax (Lambda Expression)

There is no such thing "subscribing my method to delegate".

You create a delegate instance and add an anonymous method to its invocation list.

System.Action<int, string> myAction = null;
myAction += (number, format) => {
    System.Console.WriteLine(format, number); //for example
};

Here System.Action<int, string> is a delegate type, myAction is a delegate instance.
You should understand, that adding one more method to the invocation list change referential identity of the variable.

System.Action<int, string> myAction = null;
myAction += (number, format) => {
    System.Console.WriteLine(format, number); //for example
};
System.Action<int, string> oldAction == myAction;
myAction += (number, format) => { /*...*/ };

//at this moment, oldAction != myAction; object.ReferenceEquals(oldAction, myAction) == false;

So, when you do this operation (+=), a brand new delegate instance is created and assigned to a variable. In other words: delegate instances are not mutable. Why? For the same reason as strings: thread safety.

Any questions?

—SA