Setting the style of a WPF UserControl

You can directly set the UserControl's Style like this:

<UserControl x:Class="MyNamespace.MyControl" xmlns:local="MyNamespace" ...>
    <UserControl.Style>
        <Style>
            <Setter Property="local:MyControl.MyProperty" Value="..."/>
            ...
        </Style>
    </UserControl.Style>
</UserControl>

or like this:

<UserControl x:Class="MyNamespace.MyControl" xmlns:local="MyNamespace" ...>
    <UserControl.Style>
        <Style TargetType="local:MyControl">
            <Setter Property="MyProperty" Value="..."/>
            ...
        </Style>
    </UserControl.Style>
</UserControl>

A default Style in the UserControl's Resources should also work:

<UserControl x:Class="MyNamespace.MyControl" xmlns:local="MyNamespace" ...>
    <UserControl.Resources>
        <Style TargetType="local:MyControl">
            <Setter Property="MyProperty" Value="..."/>
            ...
        </Style>
    </UserControl.Resources>
</UserControl>

Necro answer for a special case. If the user control is selected via a DataTemplate resource in another WPF control or window, WPF may not automagically apply a default style from an imported resource dictionary. However, you can apply named style resource after importing a resource dictionary.

<UserControl.Resources>
    <ResourceDictionary>
        <ResourceDictionary.MergedDictionaries>
            <ResourceDictionary Source="../../Resources/ResourceDictionary.xaml" />
        </ResourceDictionary.MergedDictionaries>
    </ResourceDictionary>
</UserControl.Resources>
<UserControl.Style>
    <Binding Source="{StaticResource MyUserControlStyle}"></Binding>
</UserControl.Style>

You need to remove the x:Key from your defined style so that it can be applied universally to all controls of the same type as what is defined in the TargetType.

To quote from MSDN for Style.TargetType Property:

Setting the TargetType property to the TextBlock type without setting an x:Key implicitly sets the x:Key to {x:Type TextBlock}. This also means that if you give the [...] Style an x:Key value of anything other than {x:Type TextBlock}, the Style would not be applied to all TextBlock elements automatically. Instead, you need to apply the style to the TextBlock elements explicitly.