This may sound trivial, but it is not. If you want to link to your (or someone else’s) application on Windows Phone Marketplace, the worst thing you can do is to copy/paste the link from your web-browser. Like this:

http://www.windowsphone.com/en-US/apps/d854573a-8873-4400-a519-762c36b7a6f1 (don’t use this, it’s wrong!)

This will bring the user to your app, but only if he is from the same country and he is using the link from a desktop browser.

If a user clicks on the link above on the phone (Windows Phone!), he will get the following note:

Yes, really. This is hardly the best way to welcome the user of your phone, but that’s the way it is (for now, I hope).

If you want your links to be clickable from every device, you should use the following syntax:
http://windowsphone.com/s?appid=APPID
where APPID is the app guid.

You can find the APPID of the app by cutting the last part of the full WindowsPhone.com URL (e.g. http://www.windowsphone.com/en-US/apps/d854573a-8873-4400-a519-762c36b7a6f1) or you can find it in your AppHub Dashboard – even before it is submitted to the marketplace! Just open your app, and go to “details” tab.

Furthermore, on the same page, you can find the deep link itself:

If you click on that link, the desktop browser will open the desktop version of the marketplace, and the phone browser will open the app on your phone marketplace:

[Update: Just after I wrote this piece, I found the same thing on MSDN. I do have more pictures, though.]