The initial version of merged cells is now in fpspreadsheet. Just call TsWorksheet.Mergecells() and pass the cell block to be merged either as an Excel cell range string, or by column and row indexes:
MyWorksheet.MergeCells('A1:D5');
//or
MyWorksheet.MergeCells(0, 0, 4, 3); // first row, first column, last row, lst column
The contents of the merged block is defined by the upper left cell, in this example A1. The other cells are ignored (or will even be deleted, I am not quite sure yet).
Merged cells can be written to and read from xls, xlsx and ods files (xls only as sfExcel8, because the other variants do not support merging internally). Note, however, that the xls writer produces a defective file, a bug which I could not identify so far.
The worksheet grid displays merged cells in the usual way; this is very new and not fully complete.
You have to use the trunk version to get this feature. But since everything is very fresh be prepared of some incompatible changes here and there.