All we have in Lazarus is a checkbox under 'Project Options' that allows you to apply XP themes to your project. This checkbox is enabled by default so if you uncheck it, your project will have the classic Win 98/2000 look on Windows.
Having said that, I tried to test your assertion by creating two projects each on Windows Vista & XP - one in Lazarus 0.9.29 fpc 2.3.1 and the other in Delphi 2007 for Win 32. Each project has a TMemo control as well as a TListBox control. Since Lazarus has no TRichText control integrated, I did not test it. I know some 3rd party TRichText controls exist for Lazarus but I don't use them.
I attach my results in 4 screenshots.
Honestly, I don't see much difference between them. Lazarus XP themes compare very well with Delphi on Windows in my opinion.