Although if you have purchased Windows Phone 7, it is not guaranteed that you will be able to access the Windows Phone Marketplace. It is because in some countries, Microsoft has not yet enabled the Marketplace in all the countries where Windows Phone 7 is available.
Recently Chevronwp7 had released a tool to jailbreak Windows Phone 7. By using the jailbreak tool, people were able to install third party applications without going to the marketplace. This was especially useful for people developing their own apps but were not allowed in the marketplace.