Lazarus offers various events that you can use to enter your own procedures to handle things that happen in your application (e.g. a user clicks a button).
There are rather many possible events to cater for a lot of different scenarios. Somebody who does not know Lazarus or Delphi could well pick the wrong event.
The Lazarus_Tutorial#Event_Actions Lazarus tutorial has some information on what events do what.
Applicable Delphi information
Because the implementation of events in Lazarus and Delphi is similar, a lot of Delphi-related documentation is applicable to Lazarus with minor modifications.
Delphi documentation is often handy. You can search for the actual control you want to know more about to get a list of its events.
If you want to know about the order in which events fire on a form, this article from about.com can be useful.