type TMeinthread = class(TThread)
                     private
                       Timer : TTimer;
                       procedure TimerEvent(Sender : TObject);
                     public
                       procedure Execute; override;
                       procedure Terminate;
                     end;

implementation

procedure TMeinthread.Execute;
var
  Msg : TMsg;
begin
  Timer:=TTimer.Create(nil);
  Timer.OnTimer:=TimerEvent;
  while GetMessage(Msg, 0, 0, 0) do
  begin
    // Was nun?
    // case Msg of
    // WM_TIMER: TimerEvent(Timer); //
    // end;
    // ???
  end;
  Timer.Free;
end;

procedure TMeinthread.TimerEvent(Sender : TObject);
begin
  ShowMessage('Hallo'); // Wird nie ausgeführt ohne die case-Struktur
end;

procedure TMeinthread.Terminate;
begin
  PostThreadMessage(Self.ThreadID, WM_QUIT, 0, 0);
  inherited Terminate;
end;