How to wait for a BackgroundWorker to cancel?

If I understand your requirement right, you could do something like this (code not tested, but shows the general idea):

private BackgroundWorker worker = new BackgroundWorker();
private AutoResetEvent _resetEvent = new AutoResetEvent(false);

public Form1()
{
    InitializeComponent();

    worker.DoWork += worker_DoWork;
}

public void Cancel()
{
    worker.CancelAsync();
    _resetEvent.WaitOne(); // will block until _resetEvent.Set() call made
}

void worker_DoWork(object sender, DoWorkEventArgs e)
{
    while(!e.Cancel)
    {
        // do something
    }

    _resetEvent.Set(); // signal that worker is done
}

There is a problem with this response. The UI needs to continue to process messages while you are waiting, otherwise it will not repaint, which will be a problem if your background worker takes a long time to respond to the cancel request.

A second flaw is that _resetEvent.Set() will never be called if the worker thread throws an exception - leaving the main thread waiting indefinitely - however this flaw could easily be fixed with a try/finally block.

One way to do this is to display a modal dialog which has a timer that repeatedly checks if the background worker has finished work (or finished cancelling in your case). Once the background worker has finished, the modal dialog returns control to your application. The user can't interact with the UI until this happens.

Another method (assuming you have a maximum of one modeless window open) is to set ActiveForm.Enabled = false, then loop on Application,DoEvents until the background worker has finished cancelling, after which you can set ActiveForm.Enabled = true again.

Almost all of you are confused by the question, and are not understanding how a worker is used.

Consider a RunWorkerComplete event handler:

private void OnRunWorkerCompleted(object sender, RunWorkerCompletedEventArgs e)
{
    if (!e.Cancelled)
    {
        rocketOnPad = false;
        label1.Text = "Rocket launch complete.";
    }
    else
    {
        rocketOnPad = true;
        label1.Text = "Rocket launch aborted.";
    }
    worker = null;
}

And all is good.

Now comes a situation where the caller needs to abort the countdown because they need to execute an emergency self-destruct of the rocket.

private void BlowUpRocket()
{
    if (worker != null)
    {
        worker.CancelAsync();
        WaitForWorkerToFinish(worker);
        worker = null;
    }

    StartClaxon();
    SelfDestruct();
}

And there is also a situation where we need to open the access gates to the rocket, but not while doing a countdown:

private void OpenAccessGates()
{
    if (worker != null)
    {
        worker.CancelAsync();
        WaitForWorkerToFinish(worker);
        worker = null;
    }

    if (!rocketOnPad)
        DisengageAllGateLatches();
}

And finally, we need to de-fuel the rocket, but that's not allowed during a countdown:

private void DrainRocket()
{
    if (worker != null)
    {
        worker.CancelAsync();
        WaitForWorkerToFinish(worker);
        worker = null;
    }

    if (rocketOnPad)
        OpenFuelValves();
}

Without the ability to wait for a worker to cancel, we must move all three methods to the RunWorkerCompletedEvent:

private void OnRunWorkerCompleted(object sender, RunWorkerCompletedEventArgs e)
{
    if (!e.Cancelled)
    {
        rocketOnPad = false;
        label1.Text = "Rocket launch complete.";
    }
    else
    {
        rocketOnPad = true;
        label1.Text = "Rocket launch aborted.";
    }
    worker = null;

    if (delayedBlowUpRocket)
        BlowUpRocket();
    else if (delayedOpenAccessGates)
        OpenAccessGates();
    else if (delayedDrainRocket)
        DrainRocket();
}

private void BlowUpRocket()
{
    if (worker != null)
    {
        delayedBlowUpRocket = true;
        worker.CancelAsync();
        return;
    }

    StartClaxon();
    SelfDestruct();
}

private void OpenAccessGates()
{
    if (worker != null)
    {
        delayedOpenAccessGates = true;
        worker.CancelAsync();
        return;
    }

    if (!rocketOnPad)
        DisengageAllGateLatches();
}

private void DrainRocket()
{
    if (worker != null)
    {
        delayedDrainRocket = true;
        worker.CancelAsync();
        return;
    }

    if (rocketOnPad)
        OpenFuelValves();
}

Now I could write my code like that, but I'm just not gonna. I don't care, I'm just not.

You can check into the RunWorkerCompletedEventArgs in the RunWorkerCompletedEventHandler to see what the status was. Success, canceled or an error.

private void RunWorkerCompletedEventHandler(sender object, RunWorkerCompletedEventArgs e)
{
    if(e.Cancelled)
    {
        Console.WriteLine("The worker was cancelled.");
    }
}

Update: To see if your worker has called .CancelAsync() by using this:

if (_worker.CancellationPending)
{
    Console.WriteLine("Cancellation is pending, no need to call CancelAsync again");
}

You don't wait for the background worker to complete. That pretty much defeats the purpose of launching a separate thread. Instead, you should let your method finish, and move any code that depends on completion to a different place. You let the worker tell you when it's done and call any remaining code then.

If you want to wait for something to complete use a different threading construct that provides a WaitHandle.