When using a DataGrid control for example; as in the following XAML snippet:
<sdk:DataGrid AutoGenerateColumns="True" Margin="12,55,119,12" x:Name="MyGrid" />
You will need to include a reference to System.Windows.Controls.Data and System.Windows.Controls.Data.Input in addition to the reference to System.Windows.Controls included by default in the Silverlight Application template in Visual Studio 2010.
You will not typically run into this kind of problem using the Designer window, but may if (like me) you tend to type your markup manually. Obvious shortcut path to resolving reference issues is to use the designer temporarily to insert the problem control and see what changes in your references and/or markup :-).