ComboBox weirdness
One thing that Jeff Yates mentioned in his reply was weirdness with ComboBoxes - I've seen that one personally, and I've also seen another very, very irritating issue with them. If you try to change the items in a ComboBox from the event handler for a button's Click event, you will get a cryptic error message which I can't think of at the moment. My solution to it was to do the same thing as in Jeff's solution - remove the combo box, construct a new one, fill that one with the changed item set, and add that back to the containing panel.
No ElementName binding
Silverlight has nothing analagous to WPF's ElementName binding ability. This post has a good workaround that has worked pretty well for me.
No support for mouse scroll wheel events
There is no native support for capturing mouse scroll wheel events. This post provides a solution that uses browser events for it.
No Unloaded event on UserControls
There is a Loaded event, but no Unloaded - if you want to remove a control from the screen and run some unloading logic, you need to roll your own way to do so. I have an IUnloadable interface that I derive my controls from that need to run unloading logic and invoke a method on it manually when the time is right.
And finally, this post has some good info about what Silverlight is missing as compared to what WPF has.
