I know there is a CheckBoxList, but I need a CheckListBox. I thought that there was such a thing, but I can't find it. I dont' see one in either the standatd controls or the AJAX Control Toolkit.

I'm looking obviously for a drop down list box, that has checks in it so you can select or deselect the items in the list. 

 You can easily accomplish that by using the popupextendar:

This is an example with the CheckBoxList:

<asp:ScriptManager ID="ScriptManager1" runat="server">
</asp:ScriptManager>
<asp:Label ID="Label1" runat="server" Text=">>"></asp:Label>
<AjaxToolkit:PopupControlExtender ID="PopupControlExtender1" runat="server" TargetControlID="Label1"
    PopupControlID="CheckBoxList1">
</AjaxToolkit:PopupControlExtender>
<asp:CheckBoxList ID="CheckBoxList1" runat="server">
    <asp:ListItem>Item1</asp:ListItem>
    <asp:ListItem>Item2</asp:ListItem>
    <asp:ListItem>Item3</asp:ListItem>
    <asp:ListItem>Item4</asp:ListItem>
</asp:CheckBoxList>

For more information on how to aetup your poject to use ajaxtookit :

http://www.asp.net/learn/Ajax-Control-Toolkit/tutorial-47-cs.aspx