asyncExample.cs

var client = new WebClient();
var webContent = await client.DownloadStringTaskAsync("http://www.gamlor.info/wordpress/");
ProcessFurther(webContent);

consoleAfterSyncContext.txt

We are on Thread No 10
Downloaded 67770 characters, continue with the work
We are on Thread No 10

MyPrimitiveSynchronisationContext.cs

class MyPrimitiveSynchronisationContext : SynchronizationContext
{
    private readonly Queue<Action> messagesToProcess = new Queue<Action>();
    private readonly object syncHandle = new object();
    private bool isRunning = true;

    public override void Send(SendOrPostCallback codeToRun, object state)
    {
        throw new NotImplementedException();
    }

    public override void Post(SendOrPostCallback codeToRun, object state)
    {
        lock (syncHandle)
        {
            messagesToProcess.Enqueue(() => codeToRun(state));
            SignalContinue();
        }
    }

    public void RunMessagePump()
    {
        while(CanContinue())
        {
            Action nextToRun = GrabItem();
            nextToRun();
        }            
    }

    private Action GrabItem()
    {
        lock (syncHandle)
        {
            while (CanContinue() && messagesToProcess.Count == 0)
            {
                Monitor.Wait(syncHandle);
            }
            return messagesToProcess.Dequeue();
        }
    }

    private bool CanContinue()
    {
        lock (syncHandle)
        {
            return isRunning;
        }
    }

    public void Cancel()
    {
        lock (syncHandle)
        {
            isRunning = false;
            SignalContinue();
        }
    }

    private void SignalContinue()
    {
        Monitor.Pulse(syncHandle);
    }
}

outputConsole.txt

We are on Thread No 10
Downloaded 67770 characters, continue with the work
We are on Thread No 16

outputOnWpf.txt

We are on Thread No 10
Downloaded 67770 characters, continue with the work
We are on Thread No 10

Programm.cs

class Program
{
    static void Main(string[] args)
    {
        // Setup our synchronisation context
        MyPrimitiveSynchronisationContext ctx = new MyPrimitiveSynchronisationContext();
        MyPrimitiveSynchronisationContext.SetSynchronizationContext(ctx);

        // The first thing to process is our main application
        ctx.Post(obj=>
            MainProgramm(), null);

        // Then we kick of the message pump
        ctx.RunMessagePump();
    }

    static async void MainProgramm(){
        Console.Out.WriteLine("We are on Thread No {0}", Thread.CurrentThread.ManagedThreadId);
        var client = new WebClient();
        var webContentHomePage = await client.DownloadStringTaskAsync("http://www.gamlor.info/wordpress/");
        Console.Out.WriteLine("Downloaded {0} characters, continue with the work", webContentHomePage.Length);
        Console.Out.WriteLine("We are on Thread No {0} ", Thread.CurrentThread.ManagedThreadId);
    }
}

ThreadInfo.cs

Console.Out.WriteLine("We are on Thread No {0}",Thread.CurrentThread.ManagedThreadId);
var client = new WebClient();
var webContentHomePage = await client.DownloadStringTaskAsync("http://www.gamlor.info/wordpress/");
Console.Out.WriteLine("We are on Thread No {0}",Thread.CurrentThread.ManagedThreadId);
Console.Out.WriteLine("Page is {0} characters long",webContentHomePage.Length);

Fixed bug with your sync context. https://gist.github.com/2375443