A guided tour of Microsoft's shared-source Rotor implementation of the CLR. There's also an O'Reilly book.
Good MSDN articles, covering type fundamentals, delegates and the GC.
MSDN on Threading services within .NET/CLR.
Technical Overview of the Common Language Runtime: older paper, decent comparison with the JVM, and explanation of the core features of the CLI/CLR.
A very good techincal book about .NET is Don Box's Essential .NET. (Also available on afari.)
Advanced .NET Remoting: Ingo Rammer
.NET Multithreading: Alan L. Dennis (ISBN 1-930110-54-5)