sub vai(sender As Object, e As EventArgs)
Dim Item
For Each Item in pippo.Items
If Item.Selected Then
lblmessage.Text &= Item.Text & " "
End If
Next
End Sub

<form runat="server">
<asp:checkboxlist runat="server" id="pippo" />
<asp:button OnClick="vai" runat="server" />
<asp:label ID="lblmessage" runat="server" />
</form>