I came across this issue while working, and just wanted to share it so others don't get hung up on it like I did.
I was trying to add a OnSelectedIndexChanged event to a listbox, and it would not work for the life of me... until I finally added this to the user control
AutoPostBack="true"
This simple addition did the trick. The reason I did not think of it is because I thought that AutoPostBack was set to true by default... apparently not in this case.
Hope that helps someone.