Objective: Load HTML content via $.ajax, insert it into the DOM, have jQuery Mobile apply theme styles to it.
Problem:
If you're using the ajax method to load into content, this is how I got the styling and jquery mobile functionality to work. It's pretty much the same as the suggestion above but for some people you probably like seeing a more full example.
Here is the code:
$.ajax({
url: 'url.php',
success: function(data) {
$("#div").html(data).trigger('create');
}
});