Microsoft seems to be readying to release a two factor authentication mechanism for its Microsoft accounts. A Microsoft Authenticator app is available from the Windows Phone Store now.
Do not confuse this with Authenticator, another two factor authentication app for use with Google Authenticator (which I use personally for Google, LastPass and Dropbox at the moment).
The blurb says "The app implements industry-standard security code generation and may also work with other services and providers." so I will test it with one of my accounts.