A theoretical analysis is made of the decomposition into contributions from individual interactions of the free energy calculated by thermodynamic integration. It is demonstrated that such a decomposition, often referred to as "component analysis," is meaningful, even though it is a function of the integration path. Moreover, it is shown that the path dependence can be used to determine the relation of the contribution of a given interaction to the state of the system. To illustrate these conclusions, a simple transformation (Cl- to Br- in aqueous solution) is analyzed by use of the Reference Interaction Site Model-Hypernetted Chain Closure integral equation approach; it avoids the calculational difficulties of macromolecular simulation while retaining their conceptual complexity. The difference in the solvation free energy between chloride and bromide is calculated, and the contributions of the Lennard-Jones and electrostatic terms in the potential function are analyzed by the use of suitably chosen integration paths. The model is also used to examine the path dependence of individual contributions to the double free energy differences (delta delta G or delta delta A) that are often employed in free energy simulations of biological systems. The alchemical path, as contrasted with the experimental path, is shown to be appropriate for interpreting the effects of mutations on ligand binding and protein stability. The formulation is used to obtain a better understanding of the success of the Poisson-Boltzmann continuum approach for determining the solvation properties of polar and ionic systems.