<p>I'm looking to implement the Observer pattern in VB.NET or C# or some other first-class .NET language. I've heard that delegates can be used for this, but can't figure out why they would be preferred over plain old interfaces implemented on observers. So,</p>

<ul>
<li>Why should I use delegates instead of defining my own interfaces and passing around references to objects implementing them?</li>
<li>Why might I want to avoid using delegates, and go with good ol'-fashioned interfaces?</li>
</ul>

A delegate is, in effect, passing around a reference to a method, not an object... An Interface is a reference to a subset of the methods implemented by an object...
If, in some component of your application, you need access to more than one method of an object, then define an interface representing that subset of the objects' methods, and assign and implement that interface on all classes you might need to pass to this component... Then pass the instances of these classes by that interface instead of by their concrete class..
If, otoh, in some method, or component, all you need is one of several methods, which can be in any number of different classes, but all have the same signature, then you need to use a delegate.