Segoe WP for Windows Phone works well because the device runs at a high dpi. For the default 96dpi of Windows, Segoe UI with its hints work better.
Also WPF4 brought in updated font handling, also be sure to snap to device pixels.
But WPF4 will not have as crisp a font rendering that Direct Text or standard GDI+ does. But WPF works best for scalable DPI, and you could re-factor the code for the MetroTwit Windows Phone app I know you will be planning as I type!