In corporate security it's often important to have confidential information, such as email, encrypted on your phone. How does Windows Phone (not Windows Mobile) cope with these issues?
Unlike iPhone and Android who have (flawed) full disk encryption, there is no option in the latest version of Windows Phone 7.5 to encrypt your whole device.
Windows Phone 8 however will have a lot of improvements (security wise) but they will still need to be proofed in the field. However the full disk encryption will be handled by Bitlocker, which has proven itself on Microsoft's desktop OS Windows 7.
Unfortunately there are little or few security measurements in place to keep your data private in case of theft.
Some apps that can be used to keep your things private:
Windows Phone has a built in feature to erase the phone from a distance. Which can be useful, but is often way too late if no other form of data security is used.