The easiest way is to decend from an existing component that has most of the characteristics you are looking for.
If you have to create a custom component from "scratch" then use one of the classes listed below.
TComponent - The base starting point for non-visual
components.
TWinControl - The base starting point for components
that need to have window handles.
TGraphicControl - A good starting point for visual components
that don't need the overhead of a window
handle. This class has a Paint method, that
should be overridden, but no canvas.
TCustomControl - The most common starting point for visual
components.
This class has a Window handle, common events
and properties, and most importantly a canvas
with a Paint() method.