What is an OBJECT (Component)…

Remember a Component is an Object on your Palette, and an Object, can be a Component on your Palette, or something that is created totally in code.
So an OBJECT is a more general class of things, than a COMPONENT.
All Components are Objects, but not All Objects are Components (TStringList is an Object, and Not a Component)

What is a PROPERTY?

A Property is a Variable (e.g. word, string,...) that has some built-in Methods (functions) to Read and Write to it's Variable.

What is a METHOD

A Method is a function that is attached to an Object. For Example:
A ListBox (which can hold an array of strings) has a Method (Clear) that makes all the strings ='' in the ListBox. Clear is a Method of the ListBox.
Example:

begin
ListBox1.Clear; // Clears the ListBox
end;

Also, some Properties of a Component can have their own Methods (e.g. Items, is a Property of ListBox):
Items, is of type TStrings
TStrings, has a Method 'LoadFromFile' that Opens, Reads and Closes a File

ListBox1.Items.LoadFromFile ('c:\Data1.txt');

What is an EVENT

An Event is a User Action (Mouse Click, KeyPressed,...). Events all begin with the word 'On'

OnClick.. Button1Click (Sender : TObject)
OnKeyDown .. Button1KeyDown (Sender : TObject)
OnMouseMove .. Button1MouseMove (Sender : TObject)

Events are where you write your Delphi code.