I always use DelphiX... I never used any of the other DirectX component-sets so I can't say that I prefer DelphiX, I have just always used it and it still works for me for 2D games...

I must admit though that I have always only used the DXDraw component and the sound components, because some of the other components contained some bugs that might give you a headache, so if you would like to use all of the components I would disadvice using DelphiX another problem of DelphiX is that it hasn't been updated after the release of DirectX 7 and therefor it doesn't support 8 and will probably never support 9 either!