Here is one way I sometimes use:

Code:
Private Sub UserForm_Activate()
Dim i As Integer
i = 1
Do While IsEmpty(Worksheets("Sheet1").Range("A" & i).Value) = False
    ComboBox1.AddItem Worksheets("Sheet1").Range("A" & i).Value
    i = i + 1
Loop
End Sub
Let me know if you need anything else.