As mentioned by Julie Lerman, Brad McCabe, and others, Juval Lowy is creating a “That” class in C# to wrap and expose the My VB.NET functionality in C#. There are a lot of great features in VB.NET, and "My" is one of them. I would love to use it in C#, and will be watching Juval's work with a lot of interest and thanks.
btw, I used MSDN search to pull up some quick info of MY functionality in VB.NET. Not a bad search engine. Not bad at all.