Plenty of Bluetooth

If you want to connect your Windows Phone to any kind of hardware I can strongly recommend the HC-06 Bluetooth adapter. I've found it to be very easy to connect to and it works "right out of the box". It plays a major part in my TechDays presentations. You just connect the devices to a power supply (from 3.3 to 6 or so volts) and then your device (usually an Arduino) can talk to the adapter over a serial connection which by default is set to 9600 baud. 

The connections to the device are only supposed to work at 3.3 volt levels but I've had no problem using the 5 volts signals that the Arduino produces. 

You can change the name of the device by sending it commands, but you can pair any number of them with a single phone and then when your program runs it will connect to the first one it finds.

You can find these devices very cheaply on places like eBay. Search for "Arduino HC-06" and you should find quite a few. If you are prepared to wait for them to arrive from China you can get them very cheaply, but beware of buying ones marked as "carriers". These are very, very cheap but they actually don't have any chips on them...