Here is a selection of new features in the .NET 2.0 class library:

Generic collections in the System.Collections.Generic namespace.
The System.Nullable<T> type. (Note that C# has special syntax for this type, e.g. int? is equivalent to Nullable<int>)
The GZipStream and DeflateStream classes in the System.IO.Compression namespace.
The Semaphore class in the System.Threading namespace.
Wrappers for DPAPI in the form of the ProtectedData and ProtectedMemory classes in the System.Security.Cryptography namespace.
The IPC remoting channel in the System.Runtime.Remoting.Channels.Ipc namespace, for optimised intra-machine communication.
and many, many more. See http://msdn2.microsoft.com/en-us/library/t357fb32(en-US,VS.80).aspx for a comprehensive list of changes.