Raise event thread safely - best practice

In order to raise an event we use a method OnEventName like this:

protected virtual void OnSomethingHappened(EventArgs e) 
{
    EventHandler handler = SomethingHappened;
    if (handler != null) 
    {
        handler(this, e);
    }
}

But what is the difference with this one ?

protected virtual void OnSomethingHappened(EventArgs e) 
{
    if (SomethingHappened!= null) 
    {
        SomethingHappened(this, e);
    }
}

Apparently the first is thread-safe, but why and how ?

It's not necessary to start a new thread ?