I just found a memory leak in TCheckListBox (while using Delphi 3).
Every time you check an item at runtime, a wrapper is created in routine TCheckListBox.GetWrapper in CheckLst.pas.
These wrappers were supposed to be freed in procedure TCheckListBox.DestroyWnd; but this procedure is never called. Therefore all these pointers will never be freed.
The workaround to this is to manually clear the listbox when the form is destroyed:
procedure TForm1.FormDestroy(Sender: TObject);
begin
CheckListBox1.Items.Clear;
inherited;
end;