Many commercial applications (mostly games) uses (semi) transparent forms to 
attract the users. Under Windows 2000 or better you can make your Delphi forms 
transparent by calling SetLayeredWindowAttributes with the desired constant alpha 
value and/or the color-key. 
Note that the third parameter of SetLayeredWindowAttributes is a value that ranges 
from 0 to 255, with 0 making the window completely transparent and 255 making it 
completely opaque.

For using this function you have to add following code to your Delphi application:

1   const
2    WS_EX_LAYERED = $80000;
3    LWA_COLORKEY = 1;
4    LWA_ALPHA    = 2;
5   
6   type
7    TSetLayeredWindowAttributes = function (
8        hwnd : HWND;         // handle to the layered window
9        crKey : TColor;      // specifies the color key
10       bAlpha : byte;       // value for the blend function
11       dwFlags : DWORD      // action
12       ): BOOL; stdcall;
13  
14  procedure SetTransparentForm(AHandle : THandle; AValue : byte = 0);
15  var
16   Info: TOSVersionInfo;
17   SetLayeredWindowAttributes: TSetLayeredWindowAttributes;
18  begin
19   //Check Windows version
20   Info.dwOSVersionInfoSize := SizeOf(Info);
21   GetVersionEx(Info);
22   if (Info.dwPlatformId = VER_PLATFORM_WIN32_NT) and
23   (Info.dwMajorVersion >= 5) then
24     begin
25       SetLayeredWindowAttributes := GetProcAddress(GetModulehandle(user32), 
26  'SetLayeredWindowAttributes');
27        if Assigned(SetLayeredWindowAttributes) then
28         begin
29          SetWindowLong(AHandle, GWL_EXSTYLE, GetWindowLong(AHandle, GWL_EXSTYLE) or 
30  WS_EX_LAYERED);
31          //Make form transparent
32          SetLayeredWindowAttributes(AHandle, 0, AValue, LWA_ALPHA);
33        end;
34     end;
35  end;
36  
37  //Now you can create OnCreate event handler and put next code:
38  
39  procedure TForm1.FormCreate(Sender: TObject);
40  begin
41   SetTransparentForm(Handle, 100);
42  end;


Run the application. Just remember, that SetLayeredWindowAttributes 
function not available for Windows 98 or Windows NT 4.0
If you want to setup transparency in percents you can use following formula: (255 * 
Percents) / 100.

You don't need to write a lot of code to fade a window in or out.
The following example shows how to create fade out effect.
First you form become slowly transparent and after disappear from screen completely.

43  procedure TForm1.Button1Click(Sender: TObject);
44  var I : integer;
45  begin
46   for i := 100 downto 0 do
47    begin
48     SetTransparentForm(Handle,i);
49     Application.ProcessMessages;
50    end;
51  Close;
52  end;


It is also possible to make a transparent standard Windows dialog like TFontDialog. 
To have a dialog box come up as a translucent window, 
first create the dialog as usual. Then, create OnShow event handler and make your 
dialog transparent in the same way as a form.

53  procedure TForm1.FontDialogShow(Sender: TObject);
54  begin
55   SetTransparentForm(FontDialog.Handle, 100);
56  end;