An alternate and thread safe way to perform this operation is to use
InterlockedCompareExchange.

It is possible (although not very probable) to have FList created
twice without using InterlockedCompareExchange. Probably not worth the
extra effort though.

ms-help://borland.bds4/dllproc/base/interlockedcompareexchange.htm

This technique is implemented in the TPrivateHeap class in the
PrivateHeap unit. It was originally written by Hallvard Vassbotn. If
you are interested in the inner workings of Delphi and the Compiler,
you should read his blog (http://hallvards.blogspot.com/).

For the OP I would minimize the use of the Initialization section to
cases where you really need it. Otherwise your unit cannot be smart
linked out.

/// code below

unit Unit4;

interface

uses
   Windows
 , Classes
 , SysUtils
 ;

function GetList: TList;

implementation

var
 FList: TList;

function GetList: TList;
var
 lList: TList;
begin
 if FList = nil then
 begin
   lList := TList.Create;
   if InterlockedCompareExchange(Integer(FList), Integer(lList), 0) <> 0 then
     lList.Free;
 end;
 result := FList;
end;

initialization

finalization
 FreeAndNil(FList);

end.

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