As Soren mentions, you can't have that in Unity 2.x since the collection is only available in more recent versions of .Net. You are unlikely to get it before version 3, as it might mean breaking available games.
You may want to consider the C5 Generic Collection Library, a very well designed open source library containing more useful generic collections that you shake an iterator at (including HashSet and HashBag). Among many other great features, it's exceedingly well documented.
