Did you look at this sample : http://help.arcgis.com/en/webapi/silverlight/samples/start.htm#AttributeQuery?
Yes, I saw this sample's code. It seems like performing a query task for initially loading the state_name
queryTask.ExecuteAsync(query, "initial");
Right now I am using this method, I am just wondering whether there is other way that we can directly bind the attribute from one layer to the combox 🙂