Wow, found a cool new class!
SynchronizationContext

I'll let the following code explain, it's easier and will make more sense.

<code>
private System.Threading.SynchronizationContext _uiContext = null;

public FaxService()
{
   try
   {
       RemotingConfiguration.Configure("Shell.exe.config", false);

       _faxManager = RemotingServices.Connect(typeof(IFaxManager),
           ConfigurationManager.AppSettings["OfficeStudioServerURL"]) as
IFaxManager;

       _newFaxesHandler = NewFaxesAvailableShim.Create(new
NewFaxesAvailable(OnNewFaxesAvailable));
       _faxManager.NewFaxesAvailable += _newFaxesHandler;

       //  store a reference to the context before we register with
       //  the server (and potentially open this up to event callbacks)
       _uiContext = System.Threading.SynchronizationContext.Current;

       //  Register with the server
       _faxManager.RegisterClient(Environment.MachineName);
   }
   catch(Exception e)
   {
       Console.WriteLine(e.ToString());
   }
}

public void OnNewFaxesAvailable(string[] faxIDs)
{
   FaxMessageCollection faxes = new FaxMessageCollection();

   faxes.Query
   .Select
   (
       faxes.Query.DateReceived
   )
   .Where
   (
       faxes.Query.MessageID.In(faxIDs)
   );

   if (faxes.Query.Load())
   {
       //  This next part will effect the UI controls that are bound
       //  to this collection and as such we need to invoke the
       //  following code on the UI thread.  We stored a
       //  SynchronizationContext earlier in the service's Ctor, us it
       //  now to finish this up.
       try
       {
           _uiContext.Send(delegate
               {
                   foreach (FaxMessage fax in faxes)
                   {
                       //  attach the new fax to the collection
                       _faxes.AttachEntity(fax);
                   };
               }, null);
       }
       catch(Exception e)
       {
           Console.WriteLine(e.ToString());
       }
   }
}
</code>

Works like a charm, very easy!