VS.net creates a template when you create a WCF project.
It adds a class to the iService1.cs file:
// Use a data contract as illustrated in the sampl
The DataContract is just a formal definition of a type that can be understood on both sides of the service boundary.
If you return, as in your example, a "MyUserCollection" object, the consumers of your service will need to reference the innards of your service/system, which is a violation of the SOA tenet of explicit boundaries. By using a DataContract, you are publishing the structure of your return types in a loosely-coupled way.