To start with, if you collect Lego sets, then you should really get hold of Lego Tracker, which presents the obsessive Windows Phone Lego builder with a catalogue of every Lego set known to human kind - or at least known to Brickset.com. This app not only lets you track which sets you need to complete your particular collection, but lets you keep a record of all the sets you own. Useful if you're auditing a bucket full of bricks!
If you're more advanced than mere brick builders, you probably have a Mindstorms set - well your Windows Phone device can play a part there too. As these users have demonstrated, your Windows smartphone can become a remote control for your plastic robot of doom.
And for your final bit of knobbly trivia; did you know that two years ago, before Windows Phone launched, that Microsoft sent out Lego prototypes? According to Engadget, it did!