<Style TargetType="ComboBox" BasedOn="{StaticResource {x:Type ComboBox}}" x:Key="ProgressComboBox">
<Style.Triggers>
<DataTrigger Binding="{Binding RelativeSource={RelativeSource Self}, Path=ItemsSource}" Value="{x:Null}">
<Setter Property="Template">
<Setter.Value>
<ControlTemplate TargetType="ComboBox">
<Grid>
<ComboBox />
<с:GifImage Gif="pack://application:,,,/Images/loader16.gif" Stretch="None" Width="16" Height="16" Margin="10,2,2,2" HorizontalAlignment="Left" />
</Grid>
</ControlTemplate>
</Setter.Value>
</Setter>
</DataTrigger>
</Style.Triggers>
</Style>
* This source code was highlighted with Source Code Highlighter.
GifImage позаимствован отсюда. Главное - не забывать сделать Binding асинхронным:
<ComboBox ItemsSource="{Binding MyCollection, IsAsync=True}" Style="{StaticResource ProgressComboBox}" />