Marc Rohloff posted a pretty nice list copmaring and contrasting Delphi and C#. Feel free to add comments on other things here. I'll keep a running list going here.

Features C# has that Delphi doesn't
===================================
1) foreach
2) operators using, lock, checked and unchecked
3) block scoped variables
4) case statements with strings
5) assembly internal classes
6) namespaces can span code units
7) implicit array dimensioning: int[] a = new int{1,2,3};
8) ternary operator ( ? : )
9) can use classes from namespaces without importing the whole namespace
10) circular references are possible
11) try..catch..finally
12) assignment operators (+=, ++, -=, etc)
13) multi-file assemblies
14) You don't need to distribute Borland.Delphi.dll
15) Compiler warnings can be emitted if you omit XML documentation

Features Delphi has that C# doesn't
===================================
1) sub-range types
2) enums and sets are first-class types
3) class type support
4) virtual constructors
5) virtual class methods
6) nested procedures
7) non-default index properties
8) can defines constant arrays and records
9) resourcestring s
10) default parameters
11) variants
12) arrays with non-integral subscripts
13) sets with more than 64 elements
14) message handlers
15) unions (variant records)
16) untyped parameters
17) const parameters
18) class helpers 
19) smart linker 
20) named constructors 
21) array properties 
22) unmanaged exports 
23) super fast single pass compiler, compiling any project faster than C#, using less memory at the same time.

Edited to bring the comments up to the main page. Thanks for the input everyone!