This is a new event handler code generated by compiler. It was introduced in C# 4 (C# 3 version was different)
Interlocked.CompareExchange compares first argument with third, and if they are equal, replaces first argument with second. This is a thread-safe operation. Loop is used for a case when after assigning a variable eventHandler2 and before check, another thread changes this delegate. In this case, Interlocked.CompareExchange does not perform exchange, loop condition does not evaluate to true and next attempt is made.
C# 3 generated simple code in event handlers:
add { lock(this) { changed = changed + value; } }
Which had lower performance and could introduce deadlocks.
There is a great series of articles on this subject: