C# 5: Works as one would reason. C# 4 and below: All eight planets are Neptune?! This is why C# 5 is the superior version.

gistfile1.txt

using System;
using System.Collections.Generic;

namespace Test
{
    class Program
    {
        static void Main(string[] args)
        {
            var planets = new[] {"Mercury", "Venus", "Earth", "Mars", "Jupiter", "Saturn", "Uranus", "Neptune"};
            var planetPrinters = new List<Action>();

            foreach (var planet in planets)
            {
                planetPrinters.Add(() => Console.WriteLine(planet));
            }

            foreach (var printer in planetPrinters)
            {
                printer();
            }
        }
    }
}