Does ParameterizedThreadStart provide that an instance of an object will not be garbage collected?

I played with the following code snippet:

class RunMeBaby
{
    public void Start()
    {
        while (true)
        {
            Console.WriteLine("I'm " + Thread.CurrentThread.ManagedThreadId);
            Thread.Sleep(1000);
        }
    }
}

class Program
{
    static void Main(string[] args)
    {
        RunMeBaby r = new RunMeBaby();
        Thread t = new Thread(r.Start);  // ParameterizedThreadStart delegate
        r = null;
        GC.Collect(GC.MaxGeneration);
        t.Start();

        r = new RunMeBaby();
        t = new Thread(() => r.Start()); // ThreadStart delegate
        t.Start();
        //Thread.Sleep(1000);
        r = null;
    }
}

While the first part of main runs smoothly, the second part fails, when I comment on the call to the method Thread.Sleep(), I get a null exception.

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