>If i do that I might as well access the classes directly.

That would depend on how much other stuff is in the assembly where the classes are defined - a lot of that would just be cluttering up the client side.
I usually keep 'model' classes (and interfaces) in a separate assembly. It's not just a WCF thing - there's often a need share those classes between assemblies that should have no dependency on each other.

>I'm struggling to see the point of WCF for basic data access - maybe that's not what its for ?

Basic data access ? No. Pushing stuff over the wire using varied protocols to any client - Yes

> Found one gotcha today, if any of your classes in the service have code in the constructor it doesn't fire on the client side, you have to write a partial class with a constructor on the client.

I think that relates to the requirement for a parameterless constructor ?