Windows Azure Mobile Services can help you increase productivity and expand the capabilities of your app. To help illustrate how to build your app, this interview with Nick Harris walks you through creating your first Mobile Service, downloading the quickstart Windows Phone app, running the app, and then exploring how the app uses the Mobile Services Client SDK to insert, update, and query its data to and from the newly created Mobile Service. For more information, see Windows Phone - Getting Started With Windows Azure Mobile Services on Channel 9.
Enjoy! Let us know in the comments if you plan to try using Azure Mobile Services.