Difference between BeginInvoke and Thread.Start

I have a dialog based application in which I will delegating the I/O operation read write to different thread.

I just want to clear is there any difference between two approaches..

First approach: ( I am doing this in ,my main form -Form.cs)

delegate void Action();
Action _action = new Action(Method);
this.BeginInvoke(_action);

Second approach:

Thread th = new  Thread( new ThreadStart(_action));
th.Start();

I noticed that BeginInvoke hangs the UI for a second while second approach don't ..

Please help