I have been working as a developer for about 3 years now. I transitioned into the field after a career in the Navy in an entirely different area. My thought for you are as follows.
Delphi is more of a niche development environment. Visual Studio is used in a broader context throughout the industry so when you are looking for work you will have a better chance of finding work. You also mentioned Web development. Visual Studio can be used for web development but it will lock you into onlya Microsoft specific solutions. A lot of companies are looking to move away from Microsoft for web solutions due to the security issues with internet information server (IIS).
I would also consider learning Java and C++ for doing development. Java is a very good skill to know and it will not limit you to just a windows operating enviroment and any web developer has to know how to use Java. Also Java and C++ developers usually in demand an if you know them well you may get a better paycheckfor knowing them.
Another thing to consider when doing development work is understanding how to manipulate data in a database. I would learn Structured Query Language (SQL) along with what ever developer environment you learn. Do not waste your time learning SQL in Microsoft Access. Access is an application NOT a database. Learn someting about SQL in Oracle, DB2 or SQL Server. There are slight variations from the ANSI standard SQL but getting the basics down is what is important. Also learning a little bit about database design would not hurt. This advise is a little biased due to the fact that I do a lot of database development and design work.
If cost of learning this is an issue for you consider the following. IBM has some free Java development tools and so does Sun Microsystems. Visual Studio reasouces are available just about anywhere but they will cost you.
