For .NET 4.0, there are 4 options to host a WCF Service:
1: Self Hosting in an Application:
Create a regular Application ether of Windows Application or Web Application, and then put WCF services inside of this application;
2: Windows Services:
Registering the AppDomain that hosts an WCF service as a managed Windows Service. The service is implemented as both a Windows Servie and as a WCF service.
Here IIS most focused on IIS 6.0, IIS 7.0; IIS hosing is integrated with ASP.NET and features. But IIS host can only use the HTTP transport;
4: WAS (Windows Process Activation Service):
WAS is the new process activation mechanism for Windows Server 2008 and Windows Vista. Running a WCF service without installing IIS on the Internet using various transport protocols.