I need to cancel a background task started using ThreadPool.QueueUserWorkItem(...). I know a BackgroundWorker has constructs especially for this sort of thing, but I believe it\
I'd use a method CancelTask() rather than a property. The point is that callers should be able to cancel a task, but no one should be able to un-cancel a task.
Then you need to be sure that the read and the write of _cancelled have the appropriate memory barriers otherwise one thread might not ever observe the change made by the other thread. For this I'd use Thread.VolatileWrite (inside CancelTask) and Thread.VolatileRead (inside your loop)