One of the requirements when building a Windows Phone 7 game is to use a back button. In order to conform this, Andy Beaulieu has created an example of an OnBackKeyPress override that he is using to show an in-game menu.
In order to publish a Windows Phone 7 application on the Marketplace, your app must pass a list of certification requirements. One of the items in the Windows Phone 7 Certification Requirements caught my eye:
5.2.4 Use of Back Button in Games
a.Pressing the Back button from the first screen of a game must exit the application.
b. During gameplay, pressing the Back button in games must present an in-game menu. This menu must offer the option to resume the game. Pressing the Back button while this menu is up must exit the game. Microsoft recommends that you save the user game state or warn them of possible progress loss before exiting the game).
c. Outside gameplay (for example, when the user is viewing the options or help menu), pressing the Back button must return to the previous menu or page.