Events are multicast and delegates are single-cast. A delegate is
basically a variable containing a reference to one method, while one
event may have several subscribers.

I surmise that you only need one callback, so the event represents an
unneccesary overhead. Probably the delegate will be faster, although
not by much. An even faster method is by using an interface like this:

public interface IMyCallback {
   void NotifyUpdate(MyCallbackArgs args);
}

public class MyClass {
   IMyCallback listener;
   public MyClass(IMyCallback listener) {
       this.listener = listener;
   }

   public void Run() {
       while(true) {
           DoALotOfWork();
           listener.NotifyUpdate(new MyCallbackArgs());
       }
   }
}

It has a distinct java feel to it but it will be a bit faster than
using a delegate. However, architecturally a delegate seems to make
more sense and the overhead isn't that large anyway so probably
delegates are the way to go.

Regards,
Bram