My generic question is as the title states, is it best to load data during ViewModel construction or afterward through some Loaded event handling?

I'm guessing the answer is after construction via some Loaded event handling, but I'm wondering how that is most cleanly coordinated between ViewModel and View?

Here's more details about my situation and the particular problem I'm trying to solve:

I am using the MVVM Light framework as well as Unity for DI. I have some nested Views, each bound to a corresponding ViewModel. The ViewModels are bound to each View's root control DataContext via the ViewModelLocator idea that Laurent Bugnion has put into MVVM Light. This allows for finding ViewModels via a static resource and for controlling the lifetime of ViewModels via a Dependency Injection framework, in this case Unity. It also allows for Expression Blend to see everything in regard to ViewModels and how to bind them.

So anyway, I've got a parent View that has a ComboBox databound to an ObservableCollection in its ViewModel. The ComboBox's SelectedItem is also bound (two-way) to a property on the ViewModel. When the selection of the ComboBox changes, this is to trigger updates in other views and subviews. Currently I am accomplishing this via the Messaging system that is found in MVVM Light. This is all working great and as expected when you choose different items in the ComboBox.

However, the ViewModel is getting its data during construction time via a series of initializing method calls. This seems to only be a problem if I want to control what the initial SelectedItem of the ComboBox is. Using MVVM Light's messaging system, I currently have it set up where the setter of the ViewModel's SelectedItem property is the one broadcasting the update and the other interested ViewModels register for the message in their constructors. It appears I am currently trying to set the SelectedItem via the ViewModel at construction time, which hasn't allowed sub-ViewModels to be constructed and register yet.

What would be the cleanest way to coordinate the data load and initial setting of SelectedItem within the ViewModel? I really want to stick with putting as little in the View's code-behind as is reasonable. I think I just need a way for the ViewModel to know when stuff has Loaded and that it can then continue to load the data and finalize the setup phase.

Thanks in advance for your responses.