Loop through checked items of CheckedListBox

From there, how can I get the ValueMembers only?

The SelectedItems collection only gives you the values that are currently selected (highlighted), not the items that are checked. You'll need to use the CheckedItems property, which returns a collection of the checked items. If you really want to place the checked items into an array (although you don't really have to do this, for the most part), here's code you can use:
Dim arr As CheckedListBox.CheckedItemCollection = Me.CheckedListBox1.CheckedItems()
Dim items(arr.Count - 1) As Object
arr.CopyTo(items, 0)
Or, another way to write it:
Dim items() As Object

With Me.CheckedListBox1.CheckedItems
ReDim items(.Count - 1)
.CopyTo(items, 0)
End With
But, if you simply want to loop through all the selected items and do something, you could write code like this:
Dim obj As Object
For Each obj In Me.CheckedListBox1.CheckedItems()
' Cast the object as the correct type.
' Not really necessary for strings, usually.
Debug.WriteLine(CType(obj, String))
Next

When you databind (or add the items manually for that matter), the actual objects themselves, DataRowView, String, Integer, whatever is what's actually stored in each item. So by what Ken was showing, when you access the CheckedItems collection, it is a collection of references to the actual objects that you originally put in there. If you originally databinding to a dataview, then each object in the CheckedItems collection would be a DataRowView and from that you could access each field.

I'm guessing (maybe I'm not right) that you're actually looking for a way to loop through all the items and access a .Checked property or something like that (like in ASP.NET CheckBoxList control) and you're not going to find that in the CheckedListBox control in WindowsForms (at least to the best of my knowledge)

I believe you can do this in a simpler manner, if you want. (Sorry, was offline most of the weekend).

You should be able to modify the code to create your comma-delimited list a little more efficiently. You also end up with an extra comma at the end, right?

I modified the code to retrieve a comma-delimited string, with my demo using a CheckedListBox control bound to a dataset (DataSet11) created using the SQL string "SELECT ProductID, ProductName FROM Products" in the Northwind sample database.
Dim intIndex As Integer
Dim strOut As String = String.Empty

For Each intIndex In _
CheckedListBox1.CheckedIndices
strOut = String.Concat(strOut, ",", DataSet11.Products(intIndex).ProductID)
Next
strOut = strOut.Trim(",")
This may be a bit more efficient (not sure why, but it SEEMS better, using .NET Framework stuff <g>) and will avoid the extra comma problem. You can modify this to meet your own needs, I'm sure.