I am having a lot of databinding problems which seem to stem from the fact that an ISet is not an IList.

A good example is cascaded comboboxes. There's no problem filling the first one with ICriteria.List() (which does return an IList), but the child comboboxes do not automatically cascade. If I change my one-to-many properties into IList, it starts working. I'm also having more extreme problems with the 3rd party components I'm using based on the same problem.

I read somewhere that adding order-by attributes to many-to-one properties causes NHibernate to create a ListSet instead of a HashedSet, however despite its deceptive name, a ListSet does not implement both ISet and IList.

What tricks are other NHibernate users using to build complex databound winform applications?

You are apparently building a fat-client, where the client has knowledge of nhibernate classes and thus uses it's implementation of iList.
I have a server that uses the nhibernate classes, but a client that just receives iList in the form of arraylists or what-not.