Perhaps the second annoying problem after incomplete binding support is poor style system of Silverlight.
Here is the main two issues.
1. Styles are not compatible with on demand application loading. Imagine you want to share style dictionary among a set of application modules (something like PRISM module). The source of problem is xaml reader, which parse resource dictionary with shared style. To successfully parse dictionary it requires all controls dll to be loaded. But these controls dll are loaded on demand if module needs them.That is why if you for example load module A which doesn't requires any control libraries, but uses shared style dictionary u will get XamlParseException. We are currently hacking this issue by manual resource dictionary parsing. But it is just another dirty HACK!
2. Silverlight doesn't support dynamic resource so it is not impossible to create application themes (What you see in toolkit is just a Hack that is not support changing of theme and works rather slowly). You simply cannot change style of element if it was set once.
If you have and ideas how to solve it or you are Microsoft guy ;-) which can fix it please email me or leave a comment.