TButton is the very basic Windows button which does not have an easy way to set a a glyph.
TBitBtn has all the features of the TButton and adds the ability to set a glyph.
Unlike TButton and TBitBtn controls, TSpeedButton does not capture the "tab focus," which means when you click on a speed button, your focus will not move -- making TSpeedButton ideal to implement hot keys/buttons.