<p>Just found this out the hard way. I wanted to pop up a FontDialog to allow the user to choose a font.. one of those familiar dialogs..</p>

Not all of them have equivalents.
The FontDialog for instance doesnt.. (grumble grumble). This page has the complete lowdown.. posting since it may be useful just as a mental note.
http://msdn.microsoft.com/en-us/library/ms750559.aspx
Update:
The Programming WPF book had this covered. Apparently some of the dialogs didn't make the RTM bus. The FontDialog that will included into the next update is available here.. as is the ColorPicker dialog. Also you shuoldn't blindly use Win32 dialogs, because the corresponding types in WPF (e.g. Font and Color are "bigger and better" now.)
http://blogs.msdn.com/wpfsdk/archive/2006/10/26/Uncommon-Dialogs--Font-Chooser-and-Color-Picker-Dialogs.aspx