This one is driving me crazy. Here\'s the XAML:
Of course the binding has to be TwoWay. But setting a ItemsSource to a control doesn't means that the DataContext (where SelectedItem variable should point to) is set. Ensure that combo's DataContext is well set. (in my case, to Page. As selectedStuff is a Page property.
cmbStuff.DataContext = Me '(from Page.Load)
Try this:
<ComboBox ItemsSource="{Binding Path=Thing.Stuff}"
SelectedItem="{Binding Path=Thing.SelectedStuff, Mode=TwoWay}">
SelectedItem does not like to be bound OneWay. I haven't had a chance to try it out in Silverlight 2 but in Silverlight 3 you will even get the yellow triangle of death if you don't use TwoWay binding.