This is one of the most common questions I see asked. You need to either copy the appropriate files (i.e; hollywood.cls) from /usr/share/lyx/examples (on my gentoo system) to somewhere in your tetex path, and of course run texhash, then reconfigure in lyx.
I put a separate folder in /etc/texmf , called lyx and stuck the files there. Kind of a hack, but I don't update very often. Good luck.
Jim

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