Ed Bott wrote about the new Outlook.com service and I went ahead and logged in to check it out. I am a heavy Windows Phone user and was all set to change to an Outlook.com email address instead of my Live.com one when I ran across the warning shown below. As you can see, there is still some work to do on integrating this new Outlook.com service into Windows Phone and I imagine we won't see much done with this until Windows Phone 8.
My recommendation for Windows Phone users is to continue to use your Live.com account and if you want then go ahead and setup your own Outlook.com account, but DO NOT rename your existing Live.com email address. If you don't mind a full hard reset then go for it, otherwise wait until you need to do a hard reset or decide in the future to wipe your device and clean things up.
From what I can tell, you can go and sign up for Outlook.com email accounts to ensure you get the name you want and then just leave the Live.com or Hotmail.com email you have associated with your Windows Phone in place. I imagine this will change with Windows Phone 8, but it seems these two teams were not working together for this Outlook.com rollout. As shown in the screenshot warning you will lose access to Marketplace, Xbox Live, SkyDrive, and more with such a change. It's nice to see an update to Hotmail, but I wish there was more guidance provided and thought put into Windows Phone users.
You can setup and use your new Outlook.com email through the Windows Live option on your Windows Phone to sync email, contacts, calendar, and tasks while leaving the original Live/Hotmail address tied to your other services. With the combined inbox option on Windows Phone you can then integrated Live/Hotmail with Outlook. The only limit is that grandfathered Skydrive folks with 25GB will get another 7GB attached to the Outlook.com account.
A reader also mentioned you may be able to just create an alias to get an Outlook.com email address without messing up the email associated with all of your Windows Phone services. I was able to get an Outlook.com alias, but you cannot choose to send it from the alias on your phone so the better option is to setup your Outlook.com email through the Windows Live new account option..