I just wanted to expand on what smi-mark said since this is a confusing topic and often causes problems for people new to Silverlight.
Lazy loading occurs by default in both Silverlight and non-Silverlight DevForce applications, but in Silverlight that load has to be asynchronous because the data has to be fetched from the server. You don't need to fire any events, and you don't need to listen for the Pending* events unless you want to.
Using "Include" means you're doing "eager" loading, and can often be useful when you need an object graph.