[delphi.com.ar]

Podrías utilizar los mensajes, CM_MOUSEENTER y CM_MOUSELEAVE, este es un ejemplo un poco simplista:

unit Unit1;

interface

uses
  Windows, Messages, SysUtils, Classes, Graphics, Controls, Forms, Dialogs,
  ExtCtrls;

type
  TMyPannel = class(TPanel)
  private
    procedure CMMouseEnter(var Message: TMessage); message CM_MOUSEENTER;
    procedure CMMouseLeave(var Message: TMessage); message CM_MOUSELEAVE;
 end;

  TForm1 = class(TForm)
    procedure FormCreate(Sender: TObject);
  private
  public
  end;

var
  Form1: TForm1;

implementation

{$R *.DFM}

{ TMyPannel }

procedure TMyPannel.CMMouseEnter(var Message: TMessage);
begin
  Color := clRed;
end;

procedure TMyPannel.CMMouseLeave(var Message: TMessage);
begin
  Color := clBtnFace;
end;

procedure TForm1.FormCreate(Sender: TObject);
begin
  With TMyPannel.Create( Self ) do
    Parent := Self;
end;

end.