Yes - you can buy them formatted or unformatted, and I had the same experience as Hacer - I bought the cheapest ones without knowing that I had to have formatted tags (this was last November), and had to use a coworker's Galaxy to format them so I could use them with my WP. Now that's embarrassing, after I'd been trying to convince all of my coworkers how great Windows Phone is....
Come on, Microsoft or Nokia! Get with the program! Why can't we use do the same things with our tags that Androids can do with theirs? I don't necessarily mean the functions like changing settings, which are obviously prevented for security purposes. I mean the basics, like formatting tags and making them permanent.