procedure TMyService.ServiceStart(Sender: TService; var Started: Boolean);
begin
  FWorkThread := TWorkThread.Create(False);
  Started := True;
end;

procedure TMyService.ServiceStop(Sender: TService; var Stopped: Boolean);
begin
  FWorkThread.Free;
end;

const
  TM_TERMINATE = WM_APP + 1;
  TM_ERROR = WM_APP + 2;

procedure TWorkThread.Execute;
var
  LRes: Cardinal;
  LMsg: TMsg;
begin
  while not Terminated do begin
    LRes := MsgWaitForMultipleObjects(0, nil, False, INFINITE, QS_POSTMESSAGE);
    case LRes of
      WAIT_FAILED: RaiseLastOsError;
      0: begin
        while PeekMessage(LMsg, 0, 0, 0, PM_REMOVE) do begin
          case LMsg.message of
            TM_TERMINATE: Terminated;
            TM_ERROR: ProcessError(TProcessThread(LMsg.wParam));
          end;
        end;
      end;
  end;
end;

procedure TWorkThread.ProcessError(AThread: TProcessThread);
begin
  // Здесь обрабатываем ошибку, которая  произошла  в потоке AThread
end;

procedure TWorkThread.ReportError(AThread: TProcessThread);
begin
  PostThreadMessage(ThreadId, TM_ERROR, WPARAM(AThread), 0);
end;

procedure TWorkThread.Destroy;
begin
  PostThreadMessage(ThreadId, TM_TERMINATE, 0, 0);
  inherited Destroy;
end;

procedure TProcessThread.Execute;
begin
   ..........
   if IsError then
     WorkThread.ReportError(Self);
   ...........
end;

procedure TMyThread.Execute;
var
  LMsg: TMsg;
begin
  if Terminated then
    Exit;
  try
    // Initialize thread message queue
    PeekMessage(LMsg, 0, WM_USER, WM_USER, PM_NOREMOVE);
    try
      try
        DoInitialize;
      finally
        if FInitEvent <> 0 then
          SetEvent(FInitEvent);
      end;
   .........
end;

procedure TMyThread.AfterConstruction;
var
  LHandles: array[0..1] of THandle;
begin
  if NeedFullInit then begin
    LHandles[0] := CreateEvent(nil, False, False, nil);
    LHandles[1] := rsDuplicateHandle(Handle);
    FInitEvent := LHandles[0];
  end else
    FillChar(LHandles[0], SizeOf(LHandles[0]) * Length(LHandles), 0);
  try
    inherited AfterConstruction;
    if LHandles[0] <> 0 then
      Win32Check(WaitForMultipleObjects(2, @LHandles[0], False, INFINITE) <> WAIT_FAILED);
  finally
    if LHandles[0] <> 0 then begin
      CloseHandle(LHandles[0]);
      CloseHandle(LHandles[1]);
    end;
  end;
end;