It seems to work if you put the Style
as a lower-level resource, instead of in the same ResourceDictionary:
<Grid xmlns="http://schemas.microsoft.com/winfx/2006/xaml/presentation" xmlns:x="http://schemas.microsoft.com/winfx/2006/xaml">
<Grid.Resources>
<ResourceDictionary>
<ResourceDictionary.MergedDictionaries>
<ResourceDictionary Source="/PresentationFramework.Aero, Version=3.0.0.0, Culture=Neutral, PublicKeyToken=31bf3856ad364e35, ProcessorArchitecture=MSIL;component/themes/aero.normalcolor.xaml"/>
</ResourceDictionary.MergedDictionaries>
</ResourceDictionary>
</Grid.Resources>
<Border BorderBrush="Blue" BorderThickness="3">
<Border.Resources>
<Style TargetType="{x:Type TextBox}" BasedOn="{StaticResource {x:Type TextBox}}">
<Setter Property="Margin" Value="2" />
<Setter Property="Padding" Value="2" />
</Style>
</Border.Resources>
<TextBox />
</Border>
</Grid>