Works fine for me:

   protected void Page_Load(object sender, EventArgs e)
   {
       TableRow aRow = new TableRow();
       CheckBox aBox = new CheckBox();
       aBox.ID = "SomeID";
       aBox.CheckedChanged += new EventHandler(aBox_CheckedChanged);
       aBox.AutoPostBack = true;
       TableCell aCell = new TableCell();
       aCell.Controls.Add(aBox);
       aRow.Cells.Add(aCell);
       Table1.Rows.Add(aRow);
   }

   private void aBox_CheckedChanged(object sender, EventArgs e)
   {
       Console.WriteLine((sender as CheckBox).Checked.ToString());
   }