I've just started using NUnit and Rhino Mocks, so this is not necessarily the best way to do things, but it works for me.

I have a class which has a method which kicks off a background thread.  This thread has an infinite loop -- for each loop it accepts a request and services the request.

I needed to test an instance of the class, for one specific incoming request.  There are two issues -- how to know when the object's background thread has finished servicing the request, and how to stop the background thread from looping back and accepting another request.

This is what I ended up doing:

public class ServerTest {

  public void SomeTest() {

    bool done = false;

    MockRepository mocks = new MockRepository();

    using(mocks.Record()) {

      // ... lots of 'Expects'

      // This is the final call which gets made in the background thread
      // to complete the handling of the request
      Expect.Call(someObject.LastMethod).Do((Expect.Action)delegate() {
        done = true;
    using(mocks.Playback()) {
      Server server = new Server();
      int count = 0;
      while(!done && count < 10) {

The key point is that in the test's action associated with the last method that gets invoked as part of your background thread's processing loop, you need to set a flag so that the test knows that the last method has executed, and also abort the current thread so that the background thread doesn't loop back, and consume another request.