The MSDN Internet Explorer 9 Guide for Developers is great for learning the technical details behind the features for both the destop and mobile versions of the browser, however, I'm going to draw your attention to a couple of differences that Microsoft mentions between IE9 for Windows Phone and IE9 for Windows 7 desktops.  There are a few features that the mobile browser has, that the desktop, and there are several features that are in the Desktop version and not the Mobile version.

For those of you debugging your website for Windows Phones, these points should save you some time:

The following features are supported in Internet Explorer Mobile and not in the desktop version of Internet Explorer 9.

• GPS support for HTML5 geolocation. Windows Phone uses the location stack on the device and uses GPS if it is available.
• Support for Viewport and its properties, as listed in the Viewport Settings section below.
• Support for the CSS property –ms-text-size-adjust, as described in the Adjusting Text Size with Custom CSS section later in this topic.

The following features are supported in the desktop version of Internet Explorer 9, and not in Internet Explorer Mobile.

• Downloadable fonts such as EOT, TTF/OTF and WOFF fonts

• nPrivate browsing

• Tracking protection

• Anti-phishing support

• Backward compatibility for Internet Explorer 8 documents. Internet Explorer Mobile renders these documents in Internet Explorer 9 mode.

• Cross-window communications, such as the ability to target a window by using script

• Multi-stream HTML5 audio

• CMYK image support

• VBScript support

• ActiveX support

• Extensibility through browser helper objects, toolbars, and other related items

• Active document support

• Older web technology support, such as binary behaviors, HTCs, HTML+TIME, and VML

• Full support for complex script languages in all document modes

• Surrogate pair support

• JIT support for Jscript

Adding to the first point in the second list, you can see a list of all the supported fonts on Windows phone can be found here.  Keep an eye out for some of the desktop features to be added to the mobile version in the near future.

Source: MSDN