This MSDN article helped me get started with custom controls:
http://msdn.microsoft.com/en-us/library/ms837926.aspx
Also it depends what you are wanting to do, but OpenNetCF has a set of controls that provide a lot more customisation than the standard controls in the .netcf.
For example if you want to show an image on a button and set all the colours manually their Button2 class may do everthing you need.
Here is a link to the docs for the Button2 class. I'd recommend checking out the OpenNetCF Smart Device Framework as it has a lot of handy classes that weren't included in the .netCF.
Matt