What are the new features in C# 2.0?

Support for all of the new framework features such as generics, anonymous methods, partial classes, iterators and static classes. See the .NET FAQ for more on these features.
Delegate inference is a new feature of the C# compiler which makes delegate usage a little simpler. It allows you to write this:
Thread t = new Thread(ThreadFunc);
instead of this:
Thread t = new Thread( new ThreadStart(ThreadFunc) );
Another minor but welcome addition is the explicit global namespace, which fixes a hole in namespace usage in C# 1.x. You can prefix a type name with global:: to indicate that the type belongs to the global namespace, thus avoiding problems where the compiler infers the namespace and gets it wrong.
Finally C# 2.0 includes some syntactic sugar for the new System.Nullable type. You can use T? as a synonym for System.Nullable, where T is a value type. As suggested by the name, this allows values of the type to be 'null', or 'undefined'.