Behind the scenes, the anonymous delegate gets turned into an actual method so you could have some overhead with the second choice if the compiler didn't choose to inline the function. Additionally, any local variables referenced by the body of the anonymous delegate example would change in nature because of compiler tricks to hide the fact that it gets compiled to a new method. More info here on how C# does this magic:
http://blogs.msdn.com/oldnewthing/archive/2006/08/04/688527.aspx