普通に動いてるような・・・

Private Sub Button1_Click(sender As System.Object, e As System.EventArgs) Handles Button1.Click
For i = 1 To 10
Dim btn As New Button
AddHandler btn.Click, AddressOf hoge
btn.Text = i
btn.Top = i * btn.Height
Me.Controls.Add(btn)
Next
End Sub

Private Sub hoge(sender As System.Object, e As System.EventArgs)
MsgBox(sender.ToString)
End Sub