Lightest synchronization primitive for worker thread queue

I am about to implement a worker thread with work item queuing, and while I was thinking about the problem, I wanted to know if I'm doing the best thing.

The thread in question will have to have some thread local data (preinitialized at construction) and will loop on work items until some condition will be met.

pseudocode:

volatile bool run = true;

int WorkerThread(param)
{
    localclassinstance c1 = new c1();
    [other initialization]

    while(true) {
        [LOCK]
        [unqueue work item]
        [UNLOCK]
        if([hasWorkItem]) {
            [process data]
            [PostMessage with pointer to data]
        }
        [Sleep]

        if(!run)
            break;
    }

    [uninitialize]
    return 0;
}

I guess I will do the locking via critical section, as the queue will be std::vector or std::queue, but maybe there is a better way.

The part with Sleep doesn't look too great, as there will be a lot of extra Sleep with big Sleep values, or lot's of extra locking when Sleep value is small, and that's definitely unnecessary.

But I can't think of a WaitForSingleObject friendly primitive I could use instead of critical section, as there might be two threads queuing work items at the same time. So Event, which seems to be the best candidate, can loose the second work item if the Event was set already, and it doesn't guarantee a mutual exclusion.

Maybe there is even a better approach with InterlockedExchange kind of functions that leads to even less serialization.

P.S.: I might need to preprocess the whole queue and drop the obsolete work items during the unqueuing stage.