Watch the Harmonized Delay online guitar lesson by Jeff McErlain from Guitar Effects Survival Guide
Here is a cool use of delay as a way to harmonize with yourself. I first heard this effect from one of my heroes Brin May of Queen on "Brighton Rock". In this tune he takes an extended lead break and builds a great harmonized section by matching up rhythms with that of the delay. Your delays need to be fairly unity gain (same volume) as your uneffected guitar sound. A delay with a tap tempo really makes this much easier to do. IF you want to get really crazy try it with two delays.