Can someone recommend a colour picker component for Delphi?

Delphi Gems' Color Picker control, maybe?

http://www.soft-gems.net/index.php/controls/color-picker-control

What's wrong with the TColorDialog?
It gives you the standard Windows color dialog, exactly the same as in MSPaint...
Add these options to show it directly expanded and with all colors available.

object ColorDialog1: TColorDialog
  Options = [cdFullOpen, cdAnyColor]
end

Give mbColor Lib from MXS a go. Perhaps the most comprehensive set of color picking components for Delphi. MXS Components