Can I use threads to carry out long-running jobs on IIS?

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You can accomplish what you want, but it is typically a bad idea. Several ASP.NET blog and CMS engines take this approach, because they want to be installable on a shared hosting system and not take a dependency on a windows service that needs to be installed. Typically they kick off a long running thread in Global.asax when the app starts, and have that thread process queued up tasks.

In addition to reducing resources available to IIS/ASP.NET to process requests, you also have issues with the thread being killed when the AppDomain is recycled, and then you have to deal with persistence of the task while it is in-flight, as well as starting the work back up when the AppDomain comes back up.

Keep in mind that in many cases the AppDomain is recycled automatically at a default interval, as well as if you update the web.config, etc.

If you can handle the persistence and transactional aspects of your thread being killed at any time, then you can get around the AppDomain recycling by having some external process that makes a request on your site at some interval – so that if the site is recycled you are guaranteed to have it start back up again automatically within X minutes.

Again, this is typically a bad idea.

EDIT: Here are some examples of this technique in action:

Community Server: Using Windows Services vs. Background Thread to Run Code at Scheduled Intervals
Creating a Background Thread When Website First Starts

EDIT (from the far distant future) – These days I would use Hangfire.

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