using System;
using System.Collections.Generic;
using System.ComponentModel;
using System.Data;
using System.Drawing;
using System.Linq;
using System.Text;
using System.Windows.Forms;

namespace WindowsFormsApplication2
{
    public partial class Form1 : Form
    {
        public Form1()
        {
            InitializeComponent();
        }
        private Point sp = new Point(0, 0);
        private Point ep = new Point(0, 0);
        private bool d1 = false;

        private void pictureBox1_MouseDown(object sender, MouseEventArgs e)
        {
            if (!d1) 
            {
                sp=new Point(e.X,e.Y);
                ep=new Point(e.X,e.Y);
            }
            d1 = !d1;
        }

        private void pictureBox1_MouseMove(object sender, MouseEventArgs e)
        {
            if (!d1)
            {
                return;
            }
            ep = new Point(e.X, e.Y);
            this.pictureBox1.Refresh(); 
        }

        private void pictureBox1_Paint(object sender, PaintEventArgs e)
        {
            ColorDialog cd = new ColorDialog();
            if (cd.ShowDialog() == DialogResult.OK)
            {
                MessageBox.Show(cd.Color.Name);
            }
            Pen pen1 = new Pen(cd, 3);
            if (sp.Equals(ep)) return;
            int a = ep.Y - sp.Y;
            int b = ep.X - sp.X;
            e.Graphics.DrawRectangle(pen1, sp.X,sp.Y,b,a);
        }
    }
}

using System;
using System.Collections.Generic;
using System.Drawing;
using System.Windows.Forms;

namespace CommonPlatform
{
    public partial class Form1 : Form
    {
        public Form1()
        {
            InitializeComponent();
        }

        private Point sp = Point.Empty;
        private List<object[]> rects = new List<object[]>();

        private void pictureBox1_MouseDown(object sender, MouseEventArgs e)
        {
            this.sp = e.Location;
        }

        private void pictureBox1_Paint(object sender, PaintEventArgs e)
        {
            foreach (var item in this.rects)
            {
                Rectangle r = (Rectangle)item[0];
                Color c = (Color)item[1];
                e.Graphics.DrawRectangle(new Pen(c), r);
            }
        }

        private void pictureBox1_MouseUp(object sender, MouseEventArgs e)
        {
            if (sp.IsEmpty && sp == e.Location)
            {
                return;
            }

            int x = e.X > sp.X ? sp.X : e.X;
            int y = e.Y > sp.Y ? sp.Y : e.Y;
            int width = Math.Abs(sp.X - e.X);
            int height = Math.Abs(sp.Y - e.Y);
            ColorDialog dialog = new ColorDialog();
            dialog.ShowDialog(this);
            this.rects.Add(new object[] { new Rectangle(x, y, width, height), dialog.Color });
            this.pictureBox1.Invalidate();
            this.sp = Point.Empty;
        }
    }
}

------解决方案--------------------

不要跟踪OnPaint事件，直接在mousemove事件中做几件事：
1.invalidate鼠标上次经过的点与sp形成的矩形；
2.绘制由当前鼠标坐标与sp形成的新矩形