Я использую VS 2010 с EF 4, вот код, который работает для меня:
//load entities to the combo box
ProjectEntities projectE = new ProjectEntities();
var pdata = projectE.Projects;
cbProjects.DataSource = pdata; //cbProjects.ItemsSource
cbProjects.DisplayMember = "Name"; //cbProjects.DisplayMemberPath
//get selected value
var item = cbProjects.SelectedItem as Project;
int projectID = item.ProjectID;