Windows Phone have a built-in encryption service called "Bitlocker"... but it not automatically enabled for "regular" phones (phones that are not affiliated to any corporate identity; company phones) However, according to this source, Bitlocker is automatically enabled once the user sets up an Exchange Active Sync account.
I haven't tried this, especially because one of the recent Windows Phone updates caused a serious error for phones which had Bitlocker enabled (for Microsoft later released a fix, but all data were lost from the affected phones already).