Just last week at the office we decided to use GPX as our export format for GPS data.
But I don't know of any WM apps to do this today. WM died with the WP7 release and searching for apps has gotten worse with each month.
However if you want to write your own app, I will tell you that Visual Studio 2008 is the one to use.
I would need a gps application for Samsung Omnia II. - to be used mainly for outdoor tracks, opening e.g. kml / kmz / gpx tracks and following the track in the app.