[WebMethod]
public bool Simple()
{
  try
  {
     SqlConnection cnn = new SqlConnection("Integrated Security=TRUE;Server='server\\ins';database='test'");
     cnn.Open();
     cnn.Close();
   }
   catch (Exception e)
   {
     Console.Write(e);
   }

   return true;
}

[WebMethod]
public bool Threader()
{
	try
	{
		for (int i =  0 ; i <  2 ; i++)
		{
			ThreadPool.QueueUserWorkItem(new WaitCallback(TestConnection));
		}
	}
	catch (Exception e)
	{
		Console.Write(e);
		return false;
	}

	return true;
}

private void TestConnection(object status)
{
	try
	{

		SqlConnection cnn = new SqlConnection(("Integrated Security=TRUE;Server='server\\ins';database='test'");
		cnn.Open();
		cnn.Close();
	}
	catch (Exception e)
	{
		Console.Write(e);
	}
}

// Как аргумент передаем http-контекст главного потока
private void TestConnection(object status)
{
	HttpContext context = (HttpContext)(status).Current;
	IServiceProvider iServiceProvider = context as IServiceProvider;
	Type httpWorkerRequestType = typeof(HttpWorkerRequest);
	HttpWorkerRequest httpWorkerRequest = 
		iServiceProvider.GetService(httpWorkerRequestType) as HttpWorkerRequest;
	IntPtr ptrUserToken = httpWorkerRequest.GetUserToken();
	WindowsIdentity winIdentity = new WindowsIdentity(ptrUserToken);
	Console.WriteLine(WindowsIdentity.GetCurrent().Name);
	WindowsImpersonationContext impContext = winIdentity.Impersonate();

	try
	{

		SqlConnection cnn = new SqlConnection(("Integrated Security=TRUE;Server='server\\ins';database='test'");
		cnn.Open();
		cnn.Close();
	}
	catch (Exception e)
	{
		Console.Write(e);
	}
}