if panel1.caption:='' then begin
panel1.Caption:='x';
panel3.Caption:='o';
end;

var
 a: array[1..9] of char;

procedure XO;
begin
//если все поля заполнены, то конец игры
if (a[1]<>'')and(a[2]<>'')and(a[3]<>'')and(a[4]<>'')and(a[5]<>'')and(a[6]<>'')and(a [8]<>'')and(a[9]<>'') then begin
 ShowMessage('Game Over');
 exit;
end;

while (a[i]<>'') do i := random(9)+1;
a[i] := 'o';

panel1.Caption := a[1];
panel2.Caption := a[2];
panel3.Caption := a[3];
panel4.Caption := a[4];
panel5.Caption := a[5];
panel6.Caption := a[6];
panel7.Caption := a[7];
panel8.Caption := a[8];
panel9.Caption := a[9];
end;

procedure Form1.Panel1OnClick(Sender: TObject);
begin
 Panel1.Caption := 'x';
 XO;
 Panel1.Enabled := false;
end;

procedure Form1.Panel1OnClick(Sender: TObject);
begin
 a[1] := 'x';
 Panel1.Caption := a[1];
 XO;
 Panel1.Enabled := false;
end;

panel1.Caption := a[1];
...
panel9.Caption := a[9];

case i of
1: begin panel1.Caption := a[1]; panel1.enabled := false; end;
2: begin panel2.Caption := a[2]; panel2.enabled := false; end;
...
9: begin panel9.Caption := a[9]; panel9.enabled := false; end;
end;

case i of
begin ///тут ругается panel1.Caption := a[1]; panel1.enabled := false; end;