procedure TForm1.Button1Click(Sender: TObject);
var
  I: Integer;
begin
  for I := 0 to ComponentCount-1 do
  begin
    if Components[I] is TCheckBox then
      if TCheckBox(Components[I]).Checked then
        ShowMessage(TCheckBox(Components[I]).Name 'is Checked');
  end;
end;

procedure TForm1.Button2Click(Sender: TObject);
var
  I: Integer;
  aCheckBox: TCheckBox;
begin
  for I := 1 to 3 do
  begin
    aCheckBox := TCheckBox(FindComponent('CheckBox' IntToStr(I)));
    if aCheckBox.Checked then
      ShowMessage(aCheckBox.Name 'is Checked');
  end;
end;