The dojo parser is creating your widget before readStore is defined. Try this:
<!DOCTYPE html>
<html>
<head>
<title>Dive Into Dijit Forms Examples</title>
<link rel="stylesheet" href="http://ajax.googleapis.com/ajax/libs/dojo/1.6.1/dojo/resources/dojo.css">
<link rel="stylesheet" id="themeStyles" href="http://ajax.googleapis.com/ajax/libs/dojo/1.6.1/dijit/themes/claro/claro.css">
<link rel="stylesheet" href="http://ajax.googleapis.com/ajax/libs/dojo/1.6.1/dojox/grid/resources/claroGrid.css">
<link rel="stylesheet" href="http://ajax.googleapis.com/ajax/libs/dojo/1.6.1/dojox/form/resources/CheckedMultiSelect.css">
<script type="text/javascript" src="http://ajax.googleapis.com/ajax/libs/dojo/1.6.1/dojo/dojo.xd.js" djConfig="isDebug:true"></script>
<script type="text/javascript">
dojo.require("dojo.parser");
dojo.require("dojox.form.CheckedMultiSelect");
dojo.require("dijit.form.Button");
dojo.require("dijit.form.Form");
dojo.require("dojo.data.ItemFileWriteStore");
console.log("required stuff");
var readStore;
dojo.ready(function() {
var data = {
identifier: "value",
label: "label",
items: [
{value: "AL", label: "Alabama"},
{value: "AK", label: "Alaska"},
{value: "AZ", label: "Arizona"},
{value: "AR", label: "Arkansas"},
{value: "CA", label: "California"},
{value: "CO", label: "Colorado"},
{value: "CT", label: "Connecticut"}
]
};
readStore = new dojo.data.ItemFileReadStore({data:dojo.clone(data)});
dojo.parser.parse();
});
</script>
</head>
<body class="claro">
<div style="padding:20px;">
<form dojoType="dijit.form.Form" jsId="form">
<select jsId="ms4" multiple="true" size="5" name="ms4" store="readStore" dojoType="dojox.form.CheckedMultiSelect">
</select>
</form>
</div>
</body>
</html>
Notice that I removed parseOnLoad: true from djConfig.
