Definitely take a look at the Task Parallel Library, which was specifically created in .NET 4 to improve multi-threaded operations, which is using the new improvements in the .NET Thread Pool (improved a lot in .NET 4, and optimised for multi-core / multi-processor machines)!
You can also check out the videos in Channel 9 tagged Parallel Computing which display a lot of working examples of using these new structures and classes, if if you want some theoretical discussion - check this discussion with Stephen Toub from the parallel extensions team about Multi-Core and Parallel Programming Practices
Finally I've added this question of SO, talking about multithreading improvements in .NET 4
UPD: Looking at your particular example with GDI: what exactly do you imagine they could do with it to make with multithreaded?
The applications that use GDI to draw can be multithreaded and process data in multiple threads. Also, making things run in parallel changes the way your code works. You can't just "make it work" in multiple threads, and "optimising for multiple cores" isn't just as simple as adding a compiler directive. This means a whole new approach to using this api.
Finally I have to add, that Mucrosoft is slowly moving away from the older windows API, like GDI towards things like WPF, where the whole interface is powered and enhanced using your GPU. This takes a lot of the processing power from the CPU and towards GPU, where these operations are processed a lot faster and better.