See intro blogpost here.

WPF Requires you to call BeginInit and EndInit before and after setting the source. Also the load failed handlers are different.

    BitmapImage bmi = new BitmapImage();
#if !SILVERLIGHT
    bmi.BeginInit();
#endif
    Image img = new Image();
    bmi.UriSource = new Uri(strUrl, UriKind.Absolute);
#if SILVERLIGHT
    img.ImageFailed += img_ImageFailed;
#else
    bmi.DownloadFailed += bmi_DownloadFailed;
    bmi.EndInit();
#endif
    Image myImage = new Image();
    myImage.Source = bmi;

Next: WPF vs. Silverlight - Part 4 - Animations