var allTasks = Enumerable.Range(1, 5).Select(n => new Task<int>(() => n)).ToArray();
var pendingTasks = allTasks.ToArray();

foreach(var task in allTasks) task.Start();

while(pendingTasks.Length > 0)
{
    var finishedTask = pendingTasks[Task.WaitAny(pendingTasks)];
    Console.WriteLine("Task {0} finished", finishedTask.Result);
    pendingTasks = pendingTasks.Except(new[] {finishedTask}).ToArray();
}

Task.WaitAll(allTasks);

Note: The final WaitAll is necessary becasue WaitAny does not cause exceptions to be observed.