Hi Mirrorer:
Quite a few versions ago, I wrote a "Hello, World" WinForms app and successfully ran it on my Windows Mobile 6 phone. As I recall, you must use the "--standalone" flag along with pointing "--clr-root" at the right mscorelib.dll. Run "fsc --full-help" for additional switches that may be needed.
However, note that your resulting application will be at least 1MB in size, and so will take quite a long time to initialize. I was not successful in reducing the size down from there. <IAmNotALawyer>It *may* be legal to copy the DLL's to your CF device, as long as it is for personal use and not for distribution, but *please* read the EULA carefully.</IAmNotALawyer> Even then, it may not reduce startup time.
"It seems that perfection is reached, not when there is nothing left to add, but rather when nothing more can be taken away." -- Antoine de St. Exupéry