You could create a persistent TCP/IP connection to the server and permanently listen for incoming data (using a custom protocol or propably something websocket based). However such a permanent connection might seriously affect your battery life if it's for a mobile device. You will also lose the connection if the operating system automatically shuts down your application because it's out of memory.
The default approach to this problem are Push notification / Push services, where your server sends a notification about new data to a server of the phone provider (e.g. Microsoft or Apple push server), and this server sends the notification (as well as notificaiton from other online services) to your phone. Some info for Windows Phone: http://msdn.microsoft.com/en-us/library/hh221549.aspx http://msdn.microsoft.com/en-us/library/windowsphone/develop/ff402558%28v=vs.105%29.aspx
Depending on how often you have new data both approaches can make sense.