The best way to disable selected Control Panel applets is to remove the NTFS read permissions from the appropriate .cpl file in the %systemroot%\System32 directory for the selected users and groups. Here is a list:

 File Name  Applet Name
 ACCESS.CPL  Accessibility options
 APPWIZ.CPL  Add/remove programs
 CONSOLE.CPL  Console
 DESK.CPL  Display
 DEVAPPS.CPL  PCMCIA, SCSI adapters and tape drives   
 FINDFAST.CPL  Office Find Fast
 INETCPL.CPL  Internet
 INTL.CPL  Regional Settings
 JOY.CPL  Joystick
 LICCPA.CPL  Licensing
 MAIN.CPL  Fonts, keyboard, mouse and printers
 MLCFG32.CPL  Mail
 MMSYS.CPL  Sounds and multimedia
 MODEM.CPL  Modems
 NCPA.CPL  Network
 ODBCCP32.CPL  ODBC
 PNOTIFY.CPL  Print notification
 PORTS.CPL  Ports
 RASCPL.CPL  Dial up monitor
 SRVMGR.CPL  Server, services and devices
 SYSDM.CPL  System
 TELEPHON.CPL     Telephony
 THEMES.CPL  Themes
 TIMEDATE.CPL  Date/time
 TWEAKUI.CPL  TWEAKUI
 UPS.CPL  UPS
 WGPOCPL.CPL  Work Group Post Office

FYI - I have listed the registry entries used by some of the applets.


  Accessibility Options   HKEY_CURRENT_USER\Control Panel\Accessibility
  Date/Time   HKEY_LOCAL_MACHINE\SYSTEM\CurrentControlSet\Control\TimeZoneInformation
  Devices   HKEY_LOCAL_MACHINE\SYSTEM\CurrentControlSet\Services
  Display   HKEY_CURRENT_USER\Control Panel\Desktop and
  HKEY_LOCAL_MACHINE\HARDWARE\RESOURCEMAP\VIDEO
  Fonts   HKEY_LOCAL_MACHINE\SOFTWARE\Microsoft\Windows NT\CurrentVersion\Fonts
  Internet   HKEY_LOCAL_MACHINE\SOFTWARE\Microsoft\Windows\CurrentVersion\Internet Settings
  Keyboard   HKEY_CURRENT_USER\Control Panel\Desktop
  Modems   HKEY_LOCAL_MACHINE\SOFTWARE\Microsoft\Windows\CurrentVersion\Unimodem
  Mouse   HKEY_CURRENT_USER\Control Panel\Mouse
  Multimedia   HKEY_LOCAL_MACHINE\SOFTWARE\Microsoft\Multimedia
  Ports   HKEY_LOCAL_MACHINE\HARDWARE\RESOURCEMAP
  Printers   HKEY_CURRENT_USER\Printers
  Regional Settings   HKEY_CURRENT_USER\Control Panel\International
  SCSI Adapters   HKEY_LOCAL_MACHINE\HARDWARE\RESOURCEMAP\ScsiAdapter
  Services   HKEY_LOCAL_MACHINE\SYSTEM\CurrentControlSet\Services
  Sounds   HKEY_CURRENT_USER\AppEvents\Schemes\Apps\.Default
  Tape devices   HKEY_LOCAL_MACHINE\HARDWARE\RESOURCEMAP\OtherDrivers\TapeDevices
  Telephony   HKEY_LOCAL_MACHINE\SOFTWARE\Microsoft\Windows\CurrentVersion\Telephony
  UPS   HKEY_LOCAL_MACHINE\SYSTEM\CurrentControlSet\Services\UPS