You could dynamically wire up the event handlers in your form load event like...
Private Sub control_LostFocus(ByVal sender As Object, ByVal e As System.EventArgs)
Dim c As Control = DirectCast(sender, Control)
'handle the lost focus here
End Sub
Private Sub control_GotFocus(ByVal sender As Object, ByVal e As System.EventArgs)
Dim c As Control = DirectCast(sender, Control)
'handle got focus here
End Sub
Private Sub Form1_Load(ByVal sender As System.Object, ByVal e As System.EventArgs) Handles MyBase.Load
For Each c As Control In Me.Controls
AddHandler DirectCast(c, Control).GotFocus, AddressOf control_GotFocus
AddHandler DirectCast(c, Control).LostFocus, AddressOf control_LostFocus
Next
End Sub