¿Cómo hacer una serie de llamadas asincrónicas y luego usar el valor devuelto por el primer hilo?

Quiero hacer llamadas asincrónicas y luego procesar el valor devuelto por el primer hilo. No quiero usar la biblioteca paralela. Solo puedo usar .Net 2.0. He escrito el siguiente programa que debería ser suficiente para mis requisitos. Pero, ¿alguien puede señalar si hay una solución mejor? Gracias.

Aquí está mi código:

class Program
{
    private static Worker _worker2;
    private static Worker _worker3;
    private static Worker _worker4;
    private static Worker _worker1;
    delegate void DoWorkDelegate(object param);

    private static Worker _firstReturnedWorker = null;
    private static object lockObject = new object();

    public static void Main()
    {
        _worker1 = new Worker();
        _worker2 = new Worker();
        _worker3 = new Worker();
        _worker4 = new Worker();

        int i = 10;
        DoWorkDelegate d1 = new DoWorkDelegate(_worker1.OnDoWork);
        d1.BeginInvoke(1, OnThreadReturned, ++i);

        DoWorkDelegate d2 = new DoWorkDelegate(_worker2.OnDoWork);
        d2.BeginInvoke(2, OnThreadReturned, ++i);

        DoWorkDelegate d3 = new DoWorkDelegate(_worker3.OnDoWork);
        d3.BeginInvoke(3, OnThreadReturned, ++i);

        DoWorkDelegate d4 = new DoWorkDelegate(_worker4.OnDoWork);
        d4.BeginInvoke(4, OnThreadReturned, ++i);

        Console.ReadKey();
    }
    private static void OnThreadReturned(IAsyncResult ar)
    {
        lock (lockObject)
        {
            if (_firstReturnedWorker == null)
            {                    
                var workerIdentifier = (int)ar.AsyncState;
                switch (workerIdentifier)
                {
                    case 11:
                        _firstReturnedWorker = _worker1;
                        break;
                    case 12:
                        _firstReturnedWorker = _worker2;
                        break;
                    case 13:
                        _firstReturnedWorker = _worker3;
                        break;
                    case 14:
                        _firstReturnedWorker = _worker4;
                        break;
                }
            }
            else
            {
                return;
            }
        }
        Console.WriteLine("First result received was {0}", _firstReturnedWorker.ReturnedValue);
    }
}

public class Worker
{
    public string ReturnedValue { get; private set; }

    public void OnDoWork(object value)
    {
        ReturnedValue = Process((int)value);
    }

    private string Process(int numberToProcess)
    {
        return string.Format("{0} was processed by {1}", numberToProcess, Thread.CurrentThread.ManagedThreadId);
    }
}