The default indentation rules for Resharper are quite ugly. Both object/collection initializers and anonymous methods are indented way to much. Fortunately this can be fixed.
To fix the indentation of anonymous methods, go to Resharper->Options->Braces Layout and choose "BSD style" for "Anonymous method declaration". Then go to Other and deselect the option "Indent anonymous method body".
Fixing the object/collection initializer indentation is quite similar. Go to Resharper->Options->Braces Layout and choose "BSD style" for "Array oand object initializer". Then go to Other and set "Continous line indent multiplier" to 1.