Crear controles dinámicamente y controlar sus eventos

Private Sub BTNClick(ByVal sender As Object, ByVal e As EventArgs) Handles BTN.Click
  Dim i As Integer
  Dim x As CheckBox
  For i = 1 To 10
     x = New CheckBox()
     x.Name = "MiCheck" & i.ToString()
     ' ponemos los CheckBox uno debajo de los otros
     x.Left = 10
     x.Top = i * 20
     x.Width = 150
     x.Text = "Estamos en el Check " &  i.ToString()
     ' unimos CheckedChanged al método común MisCheckCheckedChanged
     AddHandler x.CheckedChanged, AddressOf Me.MisCheckCheckedChanged
     ' añadimos el checkbox al ListBox
     Me.ListBox1.Controls.Add(x)            
  Next
End Sub
 
Private Sub MisCheckCheckedChanged(ByVal sender As Object, ByVal e As EventArgs)
  Dim cbx As CheckBox = CType(sender, CheckBox)
  MessageBox.Show("Es estado de " & cbx.Name & " es " & cbx.Checked.ToString())
End Sub