The biggest problem with Windows Phone 7 is the core of the OS is common with Windows and there are many reports around with Windows Phones virused. A virus can come into the phone as easy as a jpg image or any other email or attachment.
While for Android and iOS this is not a problem, Windows Phones have big time trouble with viruses. Once infected by a virus, the phone can be a simple brick and AT&T or Microsoft or Nokia will not accept your phone back for a replacement. Once it is bricked it is hard to prove the cause was a virus. This is why people recommend good anti-viruses to buy for Windows Phones. Think spending another $50 for a good anti-virus that does the job. Then again new viruses come in. There are reports the anti-virus blocked with the firewall all the ports, then the 3G internet connection stopped, only Wi-Fi would work. There are guides to make the firewall to not block all the ports. Bluetooth connection is not affected.