Internet Explorer on Windows Phone 7 is much more restrictive than one could imagine. Despite the fact that it is something in between IE7 and IE8, its capabilities are much more modest compared to its desktop counterpart.
One of the limitations are the supported URI schemes. By default, only http:// is allowed to be called directly from the addressbar. However, there is also the about scheme that allows the user to access some IE resources (although the need in those isn't really big). Here is what will work:
about:blank - will navigate to a completely blank page
about:tabs - will completely remove the current tab content (including the URL in the address bar)
about:offlineinformation - shows the message that the page is not available while the user is offline
about:postnotcached - shows that the web page the user was on has expired
about:version - shows version information related to Internet Explorer
Here is the interesting part - in fact, WP7 used Internet Explorer Mobile version 4.0 with an updated core. If you noticed, the device brand is included in the user agent. In this case there is the XDeviceEmulator - I am indeed testing inside the emulator. On an actual device there will be the manufacturer and the model (e.g. Samsung Taylor).
mailto will not work directly from the address bar, however if it is included in a link (via href), it will trigger the email sharing app - the user will be promted to choose an email account to work with.
ftp is disabled, no matter where you put the link or reference.
zune:// is available as long as you put it as a link on a web page or in an email - this is the URL that can be used to navigate to entities in the Zune Marketplace. Rafael Riviera talked about it here.
vnd.youtube - although not really a schema, it can help you launch YouTube videos on the phone - the YouTube app will be launched (if installed). I wrote about it here.
The list will be updated as new entries are discovered.