As others have said, it depends on the application as well as other issues like code portability as well as the amount of time you would want to spend learning.
Borland's tools are easy to use and powerful. I certainly find them much easier than Microsoft's tools.
If your project requires hardware interfaces, C++ is the way to go - most if not all manufacturers will send example source code in C++. If it needs a lot of GUI work on windows, then Delphi is a good solution. When you choose Borland you can combine the two quite easily. Indeed the Gui part of Builder (the Visual Component Library or VCL) is actually written in Delphi.
If you want to port your application to Linux then Kylix can use most of the code you wrote in both Delphi and C++ (except the Win32 specific functions - obviously).
The learning curve is steeper and longer than VB for both C++ Builder and Delphi (and Kylix - the Linux version of the two combined).
But the rewards at the end will justify the time spent. C++ is an established and ANSI standardised, tried and tested professional language, available for just about any operating system you can name (Windows, Linux, UNIX, Mac etc) and you can be almost certain that there will be a C++ compiler for any future OS - you cannot go far wrong with it.
VB is a one maker(MS), one OS (Windows) language. If all you ever want to do is create a little application to run on Windows - then VB might be for you.