You do not have to host WCF in IIS, but there are several benefits, and possible limits (depending on version of IIS), to doing so. The great thing about WCF is that you have several hosting options.
IIS is becoming the 'application server' of the Windows world and is a very attractive host for WCF, depending on your needs. Hosting in IIS is likely very analogous to hosting in Tomcat or other J2EE server in the Java world - this analogy becomes truer once 'Dublin' ships.
See Hosting in Internet Information Services for some additional benefits, and possible constraints, to hosting in IIS.