The Microsoft Push Notification Service in Windows Phone offers third party developers a resilient, dedicated, and persistent channel to send information and updates to a mobile application from a web service.

There are 3 types of Push Notification on Windows Phone 7, they are Tile, Toast and Raw Notification

Nice post by my fellow MVP Prasad on:

Step by Step how to create WP7 Toast Notification using Windows Azure Cloud Service with WCF Service Web Role

Understand the Types of Microsoft Push Notification and Step by Step Flow of Microsoft Push Notification in Windows Phone 7