This post is quite old, but since I got the same issue. Here is how I solved it (using framework 4.0) : the idea is to use System.Windows.Interactivity.
In the XAML :
<ComboBox ItemsSource="{Binding Items}">
<i:Interaction.Triggers>
<i:EventTrigger EventName="SelectionChanged">
<i:InvokeCommandAction Command="{Binding SelectionChangedCommand}"/>
</i:EventTrigger>
</i:Interaction.Triggers>
</ComboBox>
Then you just need to implement the SelectionChangedCommand in your viewmodel.
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