Several years ago Don Syme did some work to create a .Net backend for the Glasgow Haskell Compiler, but it wasn't finished. I emailed him to ask when or if it would be finished, and he replied that he'd moved on to other things, but if I had an interest in functional languages for .Net, I should check out his new project, F#. I did check it out, and found it to be essentially OCaml ported to .Net, minus the most interesting bits (functors) and plus some reasonable integration with .Net objects. It still had the baroque syntax of OCaml, and seemed less powerful overall than OCaml. Oh well, I thought, I'll stick to C# until a real functional language arrives for .Net. That was then.
C# 3.0 came out, and it had enough functional programming features that I didn't feel hopelessly constrained anymore, so I stopped wishing for a functional language for .Net. However, a few days ago I happened to stumble onto a passing reference to "monads in F#," which piqued my interest enough to revisit the website, and what I saw there prompted me to buy a copy of Expert F#.
Now F# has matured into an interesting and powerful language in its own right. They've addressed the OCaml syntax problems (the #light directive allows a much friendlier, indentation-based syntax). They've refined the .Net integration. They've added facilities for metaprogramming, better tools for handling asynchronous and concurrent programs, and, yes, monads. This is a language with stronger type checking than C#, yet lighter syntax. It's a power tool. You should check it out.
I'll also say a word here about Expert F#. This is one of the most interesting computer books I've read in a long time. It covers a very wide variety of subjects, and covers them in some depth, despite devoting only a few pages to each subject. It clearly shows off the power and flexibility of the language in many different scenarios. I wouldn't say it's a book for a newcomer to programming, though there are other books that serve that need. It is an excellent introduction to F# and functional programming for .Net people, and it's an excellent introduction to F# and most of the significant .Net libraries for the functional programming people. It's a very meaty book that doesn't waste your time and doesn't talk down to you. If you're interested in F#, it's definitely worth picking up.