There are no native drivers for using a remote SQL server from a Windows Phone. Given the connected/disconnected state of a typical mobile phone, having a connection like would be done from a desktop application doesn't make as much sense.
So, it's very common to wrap the behavior with a web service. While you can use WCF, if you're just getting started and don't have existing WCF code, I'd strongly suggest you investigate using the WebAPI. It's a far simpler, yet expressive set of functionality designed to expose RESTful web services.
There are many dozens of alternatives as well that you could pursue if you wanted to use something other than .NET. But, if you're trying to connect to a SQL server, .NET will probably be the easiest.
There may be some other options that aren't true web services (like writing a custom protocol), but ultimately, they'll all have a service-oriented design, and as such, I'd stay away from them and try something like the WebAPI.