Since Silverlight is just a subset of WPF, there are alot of things missing. One missing thing I found is the System.Windows.MessageBox. I'm a little puzzled as to why they would have left this out, but I imagine MessageBox's are handled very differently in different Operating Systems. It's probably a little work to get it working on both Mac and Windows, but I hope it gets into the final release. It's not a major feature, but one that is used quite often when developing desktop applications, so I can see it being used alot in Silverlight applications.
public static class
public static void
Update 4/2/2008: I updated the above example to use the "HtmlPage.Window.Alert" method instead of the Invoke method; better to use the method that's already in the framework.
Also, here's the above code example in VB.NET:
Public Sub Show(ByVal message As String)