The OpenGL Super Bible comes with a OCX which works in Delphi. Sadly, it is a bit old, and doesn't have the latest features .

Oh yeah, one more thing. The OpenGL Programming Guide is the best source IMHO.

I have been programming small 2D games in
delphi for quite some time, i have written many small games, and i am getting bored of them. I want to start programming in 3D and i have decided i will begin to learn OpenGL, but i don't know where to start. Can anybody mention any sites with tutorials on beginning OpenGL.
Is OpenGL the same in Delphi(Pascal) as it is in C++ for example. Do I need any special files?

You should visit http://www.delphi-jedi.org/
and obtain the OpenGL headers from Erik
Ungers graphics section if you haven't
already.

There will also be some demo's written in
Delphi there as well.

You can get the DirectX headers there also.