There has been a lot of talk about the revamped Adobe Developer Connection released late last week, and it has been getting great reviews. I feel the best article up there at the moment is one titled "Creating ActionScript 3.0 components in Flash" by Jeff Kamerer of Adobe.
Robert Penner had blogged about this article which is how I found out about it, otherwise you'll have to dig around the new ADC quite a bit to locate it. I highly suggest you check it out, as it is a great way to get your feet wet in developing custom components. Thanks to Jeff for taking the time to put such an extensive write-up together for the community.