A curious thing, is there a reason that you can't declare sender as a specific type? For instance, if you had a number of textboxes and you wanted each one to select all it's text when you click on it could you use :

    Public Sub TextBox_Click(ByVal sender As TextBox, ByVal e As System.EventArgs)
        sender.SelectAll()
    End Sub

and add it as the Click Event handler to each textbox.

It seems kind of obvious to me, and it does work. But I'm wondering if there is something deep inside visual studio that'll get screwed up.

To make that work you need to have Option Strict Off which is something I personally do not care for, but to each their own.

You are forcing a narrowing implicit conversion on the method signature (delegate). Based on Variance in Delegates (C# and Visual Basic) I believe you are safe.

And it's not that much extra typing to do

DirectCast(sender,TextBox).SelectAll()