CnWizards are an essential tool for any Delphi developer. For a while i tried Castalia, but that was a while ago and found it a bit intrusive (newer versions may have changed) After switching to CnWizards, they've worked on Delphi 7/2006/2007 and now 2009 without any problems. I have tweaked the options a fair bit though as i also use Modelmaker Code Explorer(which is also really useful, but not free) so there aren't too many conflicts.

As for Lazarus - sorry, i've not used this at all so don't know of anything