Is it possible to put a thread in a low power state in finer granularities than those provided by Sleep? I would like to do a function f N times a second (N > 60, say), and reading a performance counter in a loop obviously eats a lot of the cpu.

Intel chipsets have a high performance timer with triggers at interval. Although Windows does the scheduling, some of this functionality is exposed through the API, iirc. There are limited number of triggers in the hardware. So, some sort of management is required to provide a general interface.

http://en.wikipedia.org/wiki/High_Precision_Event_Timer