Well... The main advantage of going with OpenGL is going to be cross platform. Of course this is only useful if your using Lazarus/FPC, as Delphi no longer supports cross platform compilation.

A game such as Lemmings can actually be done with GDI and still get a good player experience. Nothing fancy needed.

If you plan on adding in particle effects, fades, 3d backgrounds, blooms, lighting, shaders, bla, bla, bla then yes OpenGL wins. Mainly due to the fact its already been done for you and its methods are supported almost universally.

Hope that helps,
- Jeremy