I think all "drawing" is done once at the end of each frame - at the end of the draw().  So if you delay anywhere in that frame, it's going wait before it's drawn at the end of the frame.  What you can do is draw the rect in one frame, then trigger the delay in the next frame, which should hold the rect on the screen for the delay period (when the next draw is completed and replaces the image).

You could skip the first frame.. something like this.

1. Twitter myTwitter;
2. int i = 0;
3. void setup()
4. {
5.   size(500, 500);
6.   background(0);
7.   myTwitter = new Twitter("myUserName", "myPassword");
8. }
9. void draw()
10. {
11.   background(0);
12.  
13.  
14.   try
15.   {
16.     
17.      Query query = new Query("sandwich");
18.    
19.      query.setRpp(10);
20.  
21.     QueryResult result = myTwitter.search(query);
22.     ArrayList tweets = (ArrayList) result.getTweets();
23. for (int i = 0; i < tweets.size(); i++)
24.     {
25.       Tweet t = (Tweet) tweets.get(i);
26.       String user = t.getFromUser();
27.       String msg = t.getText();
28.       Date d = t.getCreatedAt();
29.       println("Tweet by " + user + " at " + d + ": " + msg);
30.      
31.       if (msg.indexOf("peanut") != -1 && msg.indexOf("jelly") != -1)
32.       {
33.         fill(250, 0, 0); //red
34.       }
35.       else
36.       {
37.         fill(255); //white
38.       }
39.      
40.       rect(0, i * 10, msg.length() * 3, 10);
41.      
42.     }// end for
43.   
44.   }//end try
45.  
46.   catch (TwitterException te)
47.   {
48.     println("Couldn't connect: " + te);
49.   }//end catch
50.  
51.   
52. if (i > 0) {
53.         println("delay reached");
54.         delay(5000);
55.         println("delay elapsed");
56.  } else {
57.         i++;
58. }
59.  
60. }//end draw

Don't use delay()... ever: it's evil!

Well, to be fair, there are occasionally valid reasons for using it; but only when you're happy for everything to stop... And this includes registering of key presses and mouse activity.  More often than not it will cause you problems for the reason jeff_g cites:  the screen isn't updated till the end of draw and delay() pauses draw for the delay time; meaning the screen isn't updated and nothing is registered until the delay has completed...  It's very unusual for you to really want to stop all processes in this way.

Not surprisingly the issue is a FAQ and has been addressed many times: search here and the old forums to find alternative approaches...

this is fantastic. blindfish- i'll search again. i must of missed it the first time around. big thanks to both of you.