[Drozh]

Можно таким образом:

Код:

procedure TForm1.FormClose(Sender: TObject; var Action: TCloseAction);
var
 Step, Value: Integer;
begin
 Step := 3;
 Value := 255;

 while Value >= 0 do
 begin
  AlphaBlendValue := Value;
  Application.ProcessMessages;
  Dec(Value, Step);
 end;
end;

procedure TForm1.FormCreate(Sender: TObject);
begin
 AlphaBlend := True;
end;