type
  TOnChangeEvent = procedure(Sender: TObject; MaxValue: Integer; CurrentValue: Integer) of object;

  TTheThread = class(TThread)
  private
    FOnChange: TOnChangeEvent;
  public
    property OnChange: TOnChangeEvent read FOnChange write FOnChange;
    procedure Execute; override;
  end;

...
if (I1 >= 1000) then
begin
  Inc(I2);
  Synchronize(
    procedure
    begin
      if Assigned(FOnChange) then
      begin
        FOnChange(Self, I1, I2); //Beispiel
      end;
    end);
  I1 := 0;
end;
...
procedure TForm1.FormCreate(Sender: TObject);
begin
  FTheThread := TThread.Create;
  FTheThread.OnChange := DoOnChange;
end;
...
procedure TForm1.DoOnChange(Sender: TObject; MaxValue: Integer; CurrentValue: Integer);
begin
  CounterLabel.Caption := CurrentValue.ToString;
end;