From MSDN:
Use an instance of Lazy to defer the creation of a large or resource-intensive object or the execution of a resource-intensive task, particularly when such creation or execution might not occur during the lifetime of the program.
In addition to James Michael Hare's answer, Lazy provides thread-safe initialization of your value. Take a look at LazyThreadSafetyMode enumeration MSDN entry describing various types of thread safety modes for this class.