There are several scenarios in which it is appropriate to create and manage your own threads instead of using thread pool threads:
You require a foreground thread.
You require a thread to have a particular priority.
You have tasks that cause the thread to block for long periods of time. The thread pool has a maximum number of threads, so a large number of blocked thread pool threads might prevent tasks from starting.
You need to place threads into a single-threaded apartment. All ThreadPool threads are in the multithreaded apartment.
You need to have a stable identity associated with the thread, or to dedicate a thread to a task.