Let's assume I'm using a Background Worker and I've the following methods:
private void bw_DoWork(object sender, DoWorkEventArgs e)
{
    finalData = MyWork(sender as BackgroundWorker, e);
}
private void bw_ProgressChanged(object sender, ProgressChangedEventArgs e)
{
    int i = e.ProgressPercentage; // Missused for i
    Debug.Print("BW Progress Changed Begin, i: " + i + ", ThreadId: " + Thread.CurrentThread.ManagedThreadId);
    // I use this to update a table and an XY-Plot, so that the user can see the progess.
    UpdateGUI(e.UserState as MyData);
    Debug.Print("BW Progress Changed End,   i: " + i + ", ThreadId: " + Thread.CurrentThread.ManagedThreadId);
}
private void bw_RunWorkerCompleted(object sender, RunWorkerCompletedEventArgs e)
{
    if ((e.Cancelled == true))
    {
        // Cancelled
    }
    else if (!(e.Error == null))
    {
        MessageBox.Show(e.Error.Message);
    }
    else
    {        
        Debug.Print("BW Run Worker Completed Begin, ThreadId: " + Thread.CurrentThread.ManagedThreadId);
        // I use this to update a table and an XY-Plot, 
        // so that the user can see the final data.
        UpdateGUI(finalData);
        Debug.Print("BW Run Worker Completed End,   ThreadId: " + Thread.CurrentThread.ManagedThreadId);
    }
}
Now I would assume that the bw_ProgressChanged method has finished before the bw_RunWorkerCompleted method is called. But that's not the case and I don't understand why?
I get the following output:
Worker, i: 0, ThreadId: 27
BW Progress Changed Begin, i: 0, ThreadId: 8
BW Progress Changed End,   i: 0, ThreadId: 8
Worker, i: 1, ThreadId: 27
BW Progress Changed Begin, i: 1, ThreadId: 8
BW Progress Changed End,   i: 1, ThreadId: 8
Worker, i: 2, ThreadId: 27
BW Progress Changed Begin, i: 2, ThreadId: 8
BW Run Worker Completed Begin, ThreadId: 8
BW Run Worker Completed End,   ThreadId: 8
A first chance exception of type 'System.InvalidOperationException' occurred in mscorlib.dll
ERROR <-- Collection was modified; enumeration operation may not execute.
ERROR <-- NationalInstruments.UI.WindowsForms.Graph.ClearData()
The MagagedID 8 is the Main Thread and 27 is a Worker Thread. I can see this in the Debug / Windows / Threads.
If I don't call UpdateGUI int the bw_ProgressChanged method then no error occurs. But then the user doesn't see any progress in the table and the XY-Plot. 
EDIT
The MyWork method looks like that:
public MyData[] MyWork(BackgroundWorker worker, DoWorkEventArgs e)
{
     MyData[] d = new MyData[n];
     for (int i = 0; i < n; i++) 
         d[i] = null;
     for (int i = 0; i < n; i++)
     {
         if (worker.CancellationPending == true)
         {
             e.Cancel = true;
             break;
         }
         else
         {
             d[i] = MyCollectDataPoint(); // takes about 1 to 10 seconds
             Debug.Print("Worker, i: " + i + ", ThreadId: " + Thread.CurrentThread.ManagedThreadId)
             worker.ReportProgress(i, d);
         }
     }
     return d;
}
and the UpdateGUI method looks like that:
private void UpdateGUI(MyData d)
{
   UpdateTable(d); // updates a DataGridView
   UpdateGraph(d); // updates a ScatterGraph (NI Measurement Studio 2015)
}
If I don't call UpdateGraph method it works as aspected. So the ProgressChanged method has finished before executing RunWorkerCompleted.
So I guess the problem is the combination of the ScatterGraph from NI Measurement Studio 2015 and the BackgroundWorker. But I don't understand why?
The UpdateGraph method looks like that:
private void UpdateGraph(MyData d)
{
    plot.ClearData();
    plot.Plots.Clear(); // The error happens here (Collection was modified; enumeration operation may not execute).
    int n = MyGetNFromData(d);        
    for (int i = 0; i < n; i++)
    {
        ScatterPlot s = new ScatterPlot();
        double[] xi = MyGetXiFromData(d, i);
        double[] yi = MyGetYiFromData(d, i);
        s.XAxis = plot.XAxes[0];
        s.YAxis = plot.YAxes[0];
        s.LineWidth = 2;
        s.LineColor = Colors[i % Colors.Length];
        s.ProcessSpecialValues = true;
        s.PlotXY(xi, yi);
        plot.Plots.Add(s);
    }
}
Edit 2
If I set a breakpoint in the bw_RunWorkerCompleted method then the call stack looks like that:
bw_RunWorkerCompleted
[External Code]
UpdateGraph // Line: plot.ClearData()
UpdateGUI
bw_ProgressChanged
[External Code]
Program.Main
and the first [External Code] block:
System.dll!System.ComponentModel.BackgroundWorker.OnRunWorkerCompleted(System.ComponentModel.RunWorkerCompletedEventArgs e) Unknown
[Native to Managed Transition]  
mscorlib.dll!System.Delegate.DynamicInvokeImpl(object[] args)   Unknown
System.Windows.Forms.dll!System.Windows.Forms.Control.InvokeMarshaledCallbackDo(System.Windows.Forms.Control.ThreadMethodEntry tme) Unknown
System.Windows.Forms.dll!System.Windows.Forms.Control.InvokeMarshaledCallbackHelper(object obj) Unknown
mscorlib.dll!System.Threading.ExecutionContext.RunInternal(System.Threading.ExecutionContext executionContext, System.Threading.ContextCallback callback, object state, bool preserveSyncCtx)   Unknown
mscorlib.dll!System.Threading.ExecutionContext.Run(System.Threading.ExecutionContext executionContext, System.Threading.ContextCallback callback, object state, bool preserveSyncCtx)   Unknown
mscorlib.dll!System.Threading.ExecutionContext.Run(System.Threading.ExecutionContext executionContext, System.Threading.ContextCallback callback, object state) Unknown
System.Windows.Forms.dll!System.Windows.Forms.Control.InvokeMarshaledCallback(System.Windows.Forms.Control.ThreadMethodEntry tme)   Unknown
System.Windows.Forms.dll!System.Windows.Forms.Control.InvokeMarshaledCallbacks()    Unknown
System.Windows.Forms.dll!System.Windows.Forms.Control.MarshaledInvoke(System.Windows.Forms.Control caller, System.Delegate method, object[] args, bool synchronous) Unknown
System.Windows.Forms.dll!System.Windows.Forms.Control.Invoke(System.Delegate method, object[] args) Unknown
System.Windows.Forms.dll!System.Windows.Forms.WindowsFormsSynchronizationContext.Send(System.Threading.SendOrPostCallback d, object state)  Unknown
NationalInstruments.Common.dll!NationalInstruments.Restricted.CallbackManager.CallbackDispatcher.SynchronousCallbackDispatcher.InvokeWithContext(System.Delegate handler, object sender, System.EventArgs e, System.Threading.SynchronizationContext context, object state) Unknown
NationalInstruments.Common.dll!NationalInstruments.Restricted.CallbackManager.a(NationalInstruments.Restricted.CallbackManager.CallbackDispatcher A_0, object A_1, object A_2, System.EventArgs A_3)    Unknown
NationalInstruments.Common.dll!NationalInstruments.Restricted.CallbackManager.RaiseEvent(object eventKey, object sender, System.EventArgs e)    Unknown
NationalInstruments.Common.dll!NationalInstruments.ComponentBase.RaiseEvent(object eventKey, System.EventArgs e)    Unknown
NationalInstruments.UI.dll!NationalInstruments.UI.XYCursor.OnAfterMove(NationalInstruments.UI.AfterMoveXYCursorEventArgs e) Unknown
NationalInstruments.UI.dll!NationalInstruments.UI.XYCursor.a(object A_0, NationalInstruments.Restricted.ControlElementCursorMoveEventArgs A_1)  Unknown
NationalInstruments.UI.dll!NationalInstruments.UI.Internal.XYCursorElement.OnAfterMove(NationalInstruments.Restricted.ControlElementCursorMoveEventArgs e)  Unknown
NationalInstruments.UI.dll!NationalInstruments.UI.Internal.XYCursorElement.a(NationalInstruments.UI.Internal.CartesianPlotElement A_0, double A_1, double A_2, int A_3, bool A_4)   Unknown
NationalInstruments.UI.dll!NationalInstruments.UI.Internal.XYCursorElement.MoveCursorFreely(double xValue, double yValue, bool isInteractive, NationalInstruments.UI.Internal.XYCursorElement.Movement movement)    Unknown
NationalInstruments.UI.dll!NationalInstruments.UI.Internal.XYCursorElement.MoveCursorXY(double xValue, double yValue, bool isInteractive)   Unknown
NationalInstruments.UI.dll!NationalInstruments.UI.Internal.XYCursorElement.ResetCursor()    Unknown
NationalInstruments.UI.dll!NationalInstruments.UI.Internal.XYCursorElement.a(object A_0, NationalInstruments.Restricted.ControlElementEventArgs A_1)    Unknown
NationalInstruments.UI.dll!NationalInstruments.UI.Internal.PlotElement.OnDataChanged(NationalInstruments.Restricted.ControlElementEventArgs e)  Unknown
NationalInstruments.UI.dll!NationalInstruments.UI.Internal.PlotElement.OnDataChanged()  Unknown
NationalInstruments.UI.dll!NationalInstruments.UI.Internal.CartesianPlotElement.a(object A_0, NationalInstruments.UI.Internal.PlotDataChangedEventArgs A_1) Unknown
NationalInstruments.UI.dll!NationalInstruments.UI.Internal.XYDataManager.a(NationalInstruments.UI.Internal.PlotDataChangedEventArgs A_0)    Unknown
NationalInstruments.UI.dll!NationalInstruments.UI.Internal.XYDataManager.a(NationalInstruments.UI.Internal.PlotDataChangeCause A_0, int A_1)    Unknown
NationalInstruments.UI.dll!NationalInstruments.UI.Internal.XYDataManager.ClearData(bool raiseDataChanged)   Unknown
NationalInstruments.UI.dll!NationalInstruments.UI.Internal.CartesianPlotElement.ClearData(bool raiseDataChanged)    Unknown
NationalInstruments.UI.dll!NationalInstruments.UI.Internal.PlotElement.ClearData()  Unknown
NationalInstruments.UI.dll!NationalInstruments.Restricted.XYGraphManager.ClearData()    Unknown
NationalInstruments.UI.WindowsForms.dll!NationalInstruments.UI.WindowsForms.Graph.ClearData()   Unknown