Question: Is there a way to create custom delegate control in sub-sites without having to restart the IIS server?
I have full admin/SharePoint designer access to the sub-site, just not the IIS installation.

Also Is there a way to obtain the parent site WSDL asmx without having access to the parent SharePoint site, but having full control of the current sub-site?

I never see the option for the Style Library or the \_layouts/\_vti\_bin folders to be created.
Can anyone shed some light on these items and how they can be obtained/copied to the parent folder without having access to the parent folder?

Answer: 
Working with delegate controls is just one of the main developer changes which requires an IISReset or recycling the app pool for the current site unfortunately. This is because SharePoint agressively caches a great deal of "infrequently changing" data for performance.

Sorry, can't help on your other question.
I think I have seen scenarios where there is no need to iisreset/recycle app pool with delegate controls.

Perhaps it matters whether it's an assembly based control vs ascx based control or as Anders mentioned, whether it's in the GAC vs the bin.