Apparently, you can not load WordPress into your document root, set stuff up, and then change the domain name of your machine.
For some unfathomable reason, the original url (containing your domain name!) is getting hardwired into the database in lots of different places.
Using mysql admin tool, I’ve tried to track some of them down, and was partially successful. Then I tried dumping the entire WP database to file, perform search and replace on the url, and load it back in.
You guessed it, no dice.
In sharp contrast, something like SMF forum just works like a charm. No hardwired anything, all resources are relative to the base domain name, like it should be.
Why are domain names hardwired into WordPress database during install? Why is there no transparent way to change this (if there are indeed convincing reasons its necessary?).
Anyway, it turns out you can switch a theme and then ar least the urls in the new theme point to the correct place. Heaven knows what will befall me should my site ever changes domain names…