WCF does support Duplex services, or those that have the ability to call back to the requesting client. Duplex services can be very complicated, as they are not only stateful, but they impose an contract implementation requirement on their clients.
Duplex services require the use of the WSDuplexHttpBinding. You will need to make use of the OperationContext to get a reference to the callback channel. Your clients MUST implement the callback contract in some class, and provide an InstanceContext that contains an instance of the callback class to the client proxy. Communications in both directions must be supported, and if the client is behind its own firewall or across the internet, this can be a complicated matter to resolve. Take care when writing duplex services...they are often more trouble than they are worth...so make sure you really need it. ;-)
The following page might be helpful:
http://msdn.microsoft.com/en-us/library/ms731064.aspx