When I wrote the first stuff about skinned/docked windows when using Delphi, I didn't realize how much work it really was. I have done most of the work in C++, and have created a new version of NxS Balloon Tip which is written in C++.
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I don't think you should use Delphi when making stuff for Winamp. It is in fact much easier to do it in plain C++. By using MS Visual C++ for example you can create a smaller plugin file. Borland Delphi tend to create very large EXE and DLL files and you will have to make huge hacks to integrate Delphi's Forms in e.g. the Preferences Page.
It is easy to embed a Delphi Form in a skinned window created by the use of IPC_GETEMBEDIF and calling the returned function pointer from Winamp, but when you need to "owner-draw" all your buttons and color the edit boxes, list boxes and labels using the code in wa_dlg.pas you will get stuck.
You can ofcourse use Delphi if you create your windows and buttons like we all did before. That is: Calling CreateDialog() and CreateWindow() and setting up a indow Procedure (this is handled in Forms using events).
But then you can use C++ anyway since you loose the simplyness with Forms and events. A cross between these two programming platforms must be MFC (Microsoft Foundation Classes). MFC lets you handle stuff like a C++ class.