I see that there is not a dropdown/combobox offered in the windows phone toolbox. I can see that there has to be a way to create one because in the settings of the phone, choosing a theme is essentially a dropdown menu.
Does anyone know where I can get sample code how to create one? I have seen a few samples, but the xaml seems really long and complicated. Is it really that difficult to create this control?
You can use the Silverlight for Windows Phone Toolkit (You really should be using this). The ListPicker Control will do what you want.
Here is an in-depth tutorial on how to use it: http://www.windowsphonegeek.com/articles/listpicker-for-wp7-in-depth
Here is a description of it (from here):