Shortly after .NET was released, I wrote a book for Wrox Press on using GDI+ to develop Windows Forms custom controls. Wrox subsequently declared bankruptcy, and the rights to my book were purchased by APress, where the book was republished. You can read a review of the book here. One of the main chapters of that book was about the architecture and design of custom controls. That chapter has been posted online as an article at http://en.csharp-online.net/Architecture_and_Design_of_Windows_Forms_Custom_Controls. The book and that chapter have been used as a reference for a college course.
The chapter contains a detailed comparison of component and classes. It also contains a number of design considerations for Windows Forms custom controls. One of its important points is about using component technology to implement non-procedural constructs. While that chapter was written some time ago, I think that many of its points are still valid.