If you are creating controls dynamically, you should add the event handlers dynamically as well. There is nothing wrong with using the SelectedIndexChanged event.
You can test this by making a new project and pasting this code inside Public Class Form1.
Private myComboBox1 As ComboBox
Private myComboBox2 As ComboBox
Private Shared selectedIndexChanged As EventHandler =
    Sub(sender As Object, e As EventArgs)
        Dim myComboBox = DirectCast(sender, ComboBox)
        ' alert the user as to what was selected
        MessageBox.Show(String.Format("{0} value: {1}, index: {2}",
                        myComboBox.Name, myComboBox.Text, myComboBox.SelectedIndex))
        ' you can do something different on each one by name in a case statement
        Select Case myComboBox.Name
            Case "myComboBox1"
                ' do something for 1
            Case "myComboBox2"
                ' do something for 2
        End Select
    End Sub
Private Sub addHandlers()
    AddHandler myComboBox1.SelectedIndexChanged, selectedIndexChanged
    AddHandler myComboBox2.SelectedIndexChanged, selectedIndexChanged
End Sub
Private Sub removeHandlers()
    RemoveHandler myComboBox1.SelectedIndexChanged, selectedIndexChanged
    RemoveHandler myComboBox2.SelectedIndexChanged, selectedIndexChanged
End Sub
Form eventhandlers
Private Sub Form1_Load(sender As Object, e As EventArgs) Handles MyBase.Load
    ' dynamically generate combo boxes
    myComboBox1 = New ComboBox() With {.Name = "myComboBox1",
                                       .Left = 30,
                                       .Top = 30}
    myComboBox2 = New ComboBox() With {.Name = "myComboBox2",
                                       .Left = 30,
                                       .Top = 60}
    ' add some items
    myComboBox1.Items.AddRange({1, 2, 3})
    myComboBox2.Items.AddRange({"four", "five", "six"})
    ' add the combo boxes to the form
    Me.Controls.Add(myComboBox1)
    Me.Controls.Add(myComboBox2)
    ' add event handlers
    addHandlers()
End Sub
Private Sub Form1_FormClosed(sender As Object, e As FormClosedEventArgs) Handles Me.FormClosed
    removeHandlers()
End Sub