There being no rigourous definition of "OO Language", "Functional Language", "Procedural Language", one can make arguments that any language fits mostly any classification; one can write procedural Java, object oriented C and functional C++. I typically use a classification based around what the main semantic features support, along with common development practice. A good way of looking at this is to examine builtin and popular frameworks, and see what style they use.
Functional languages are mostly defined as those with first class function primitives, with development styles that use these to reduce complexity with idioms like "map". One other common feature is pattern matching, but I don't see this as exclusively functional. "Pure" functional languages also have no side effects, but that's not mandatory (see how fuzzy these concepts are? :).
So, what's C#? Well, it has first class function style primitives, with delegates (and has gained better syntactic support for the style with anonymous delegates and lambdas). Does this make it functional? Perhaps, if one writes in a functional style. Does the Framework use this style? No, not really.
As such, I wouldn't class C# as functional in general discussion - it is, at best, multi-paradigm, with some functional flavour.