The easiest way to do this is to use the Windows API function DrawFocusRect. The DrawFocusRect function uses the XOR function when drawing, so drawing the rectangle twice in the same location erases the rectangle, and the rectangle will always be visible when drawing over different colors.

Example:
type
  TForm  = class(TForm)
    procedure FormMouseDown(Sender: TObject; Button: TMouseButton;
      Shift: TShiftState; X, Y: Integer);
    procedure FormMouseMove(Sender: TObject; Shift: TShiftState; X,
      Y: Integer);
    procedure FormMouseUp(Sender: TObject; Button: TMouseButton;
      Shift: TShiftState; X, Y: Integer);
  private
    { Private declarations }
    Capturing : bool;
    Captured : bool;
    StartPlace : TPoint;
    EndPlace : TPoint;
  public
    { Public declarations }
  end;
var
  Form : TForm ;
implementation
{$R *.DFM}
function MakeRect(Pt  : TPoint;
                  Pt2 : TPoint) : TRect;
begin
  if pt .x < pt2.x then begin
    Result.Left := pt .x;
    Result.Right := pt2.x;
  end else begin
    Result.Left := pt2.x;
    Result.Right := pt .x;
  end;
  if pt .y < pt2.y then begin
    Result.Top := pt .y;
    Result.Bottom := pt2.y;
  end else begin
    Result.Top := pt2.y;
    Result.Bottom := pt .y;
  end;
end;
procedure TForm .FormMouseDown(Sender: TObject; Button: TMouseButton;
  Shift: TShiftState; X, Y: Integer);
begin
  if Captured then
    DrawFocusRect(Form .Canvas.Handle,
                  MakeRect(StartPlace,
                           EndPlace));
  StartPlace.x := X;
  StartPlace.y := Y;
  EndPlace.x := X;
  EndPlace.y := Y;
  DrawFocusRect(Form .Canvas.Handle,
                MakeRect(StartPlace,
                         EndPlace));
  Capturing := true;
  Captured := true;
end;
procedure TForm .FormMouseMove(Sender: TObject; Shift: TShiftState; X,
  Y: Integer);
begin
  if Capturing then begin
    DrawFocusRect(Form .Canvas.Handle,
                  MakeRect(StartPlace,
                           EndPlace));
    EndPlace.x := X;
    EndPlace.y := Y;
    DrawFocusRect(Form .Canvas.Handle,
                  MakeRect(StartPlace,
                           EndPlace));
  end;
end;
procedure TForm .FormMouseUp(Sender: TObject; Button: TMouseButton;
  Shift: TShiftState; X, Y: Integer);
begin
  Capturing := false;
end;