Delegate.Invoke
Delegate.Invoke is used to execute a delegate on the current thread. A delegate is just a reference to a function or method, and Delegate.Invoke is the mechanism to call this function or method (similar to a normal function call).
Delegate.BeginInvoke
Delegate.BeginInvoke is used to execute a delegate asynchronously, that is, on a separate thread. That means that you can start an operation which won't block your current thread, it will be executed on it's own thread. Delegate.BeginInvoke the operation will be performed "in the background", that is, on a separate thread. Note that you need to call EndInvoke at some time after BeginInvoke to avoid resource leaks.
As its a seperate thread you must not update any property or call any method of a Windows Forms user that potentially update the UI. If you want to update a progress bar, fill a list, or do somehting similar while the operation is performed, you have to use a different mechanism: Control.Invoke or Control.BeginInvoke.
Control.Invoke
Control.Invoke is used to execute a delegate on the UI thread of that control. If you have a delegate which updates the user interface, you can call Control.Invoke from your other thread to execute the update operation on the UI thread.
Control.BeginInvoke
Control.BeginInvoke does the same, but in an asynchronous way. This means that, while Control.Invoke waits until the UI thread has finished executing the delegate, Control.BeginInvoke returns immediately.
Notes to remember:
Control.Invoke, Control.BeginInvoke, and Control.InvokeRequired are exceptions and can use these from other threads than the UI thread.
总的来说就是Delegate.BeginInvoke()是从线程池中取出一个新线程来执行，Delegate.Invoke()和普通调用效果上没什么区别。
而Control.BeginInvoke()和Control.Invoke()都是返回到UI线程上执行的。