Why use WML when you can use HTML?

Different mobile browsers will support different markups. Initially there was HTML. Openwave initially introduced HDML as a specific markup for mobile browsers.

Later the WAP Forum formalized a new markup called WML. WML has many optimizations for mobile browsers aimed at better usability, low memory consumption, little CPU requirements for the rendering engine. All these elements make it the optimal solution for a mobile device, from a very technical point of view.

Another valid reason for using WML is that the majority of the mobile browsers installed on the existing install-base supports WML. Only devices supporting WAP 2.0 will support XHTML-MP as the main markup and also support WML.

If you want to develop a simple site that will work on most devices on the markup (excluding Japan), you should pick WML as your preferred markup.

If you want to take a more comprehensive approach you should follow reading the FAQ. Some very important topics are about Microsoft’s Mobile Explorer, for example, that supports HTML as the preferred markup, but also WML as a fall back. What's special about the Microsoft Mobile Explorer? Later versions of the browser also introduced XHTML and have been renamed to PocketIE and MobileIE.
Also, you should wonder What is i-mode, and where can I find out more about it? This will be a very important topic if Japan is one of your target markets. i-mode is also present in Europe, Spain, UK, Italy and France, among the others. So ask yourself, How does Compact HTML (CHTML) work?

If now you feel lost with all these markups and different browsers, you should probably also check out What is the difference between XHTML MP, XHTML Basic, WML, i-mode, and HDML?

Be sure to read How long will WAP last?.