How do I pass values to the constructor on my wcf service?

I worked from Mark's answer, but (for my scenario at least), it was needlessly complex. One of the ServiceHost constructors accepts an instance of the service, which you can pass in directly from the ServiceHostFactory implementation.

To piggyback off Mark's example, it would look like this:

public class MyServiceHostFactory : ServiceHostFactory
{
    private readonly IDependency _dep;

    public MyServiceHostFactory()
    {
        _dep = new MyClass();
    }

    protected override ServiceHost CreateServiceHost(Type serviceType,
        Uri[] baseAddresses)
    {
        var instance = new MyService(_dep);
        return new MyServiceHost(instance, serviceType, baseAddresses);
    }
}

public class MyServiceHost : ServiceHost
{
    public MyServiceHost(MyService instance, Type serviceType, params Uri[] baseAddresses)
        : base(instance, baseAddresses)
    {
    }
}

You'll need to implement a combination of custom ServiceHostFactory, ServiceHost and IInstanceProvider.

Given a service with this constructor signature:

public MyService(IDependency dep)

Here's an example that can spin up MyService:

public class MyServiceHostFactory : ServiceHostFactory
{
    private readonly IDependency dep;

    public MyServiceHostFactory()
    {
        this.dep = new MyClass();
    }

    protected override ServiceHost CreateServiceHost(Type serviceType,
        Uri[] baseAddresses)
    {
        return new MyServiceHost(this.dep, serviceType, baseAddresses);
    }
}

public class MyServiceHost : ServiceHost
{
    public MyServiceHost(IDependency dep, Type serviceType, params Uri[] baseAddresses)
        : base(serviceType, baseAddresses)
    {
        if (dep == null)
        {
            throw new ArgumentNullException("dep");
        }

        foreach (var cd in this.ImplementedContracts.Values)
        {
            cd.Behaviors.Add(new MyInstanceProvider(dep));
        }
    }
}

public class MyInstanceProvider : IInstanceProvider, IContractBehavior
{
    private readonly IDependency dep;

    public MyInstanceProvider(IDependency dep)
    {
        if (dep == null)
        {
            throw new ArgumentNullException("dep");
        }

        this.dep = dep;
    }

    #region IInstanceProvider Members

    public object GetInstance(InstanceContext instanceContext, Message message)
    {
        return this.GetInstance(instanceContext);
    }

    public object GetInstance(InstanceContext instanceContext)
    {
        return new MyService(this.dep);
    }

    public void ReleaseInstance(InstanceContext instanceContext, object instance)
    {
        var disposable = instance as IDisposable;
        if (disposable != null)
        {
            disposable.Dispose();
        }
    }

    #endregion

    #region IContractBehavior Members

    public void AddBindingParameters(ContractDescription contractDescription, ServiceEndpoint endpoint, BindingParameterCollection bindingParameters)
    {
    }

    public void ApplyClientBehavior(ContractDescription contractDescription, ServiceEndpoint endpoint, ClientRuntime clientRuntime)
    {
    }

    public void ApplyDispatchBehavior(ContractDescription contractDescription, ServiceEndpoint endpoint, DispatchRuntime dispatchRuntime)
    {
        dispatchRuntime.InstanceProvider = this;
    }

    public void Validate(ContractDescription contractDescription, ServiceEndpoint endpoint)
    {
    }

    #endregion
}

Register MyServiceHostFactory in your MyService.svc file, or use MyServiceHost directly in code for self-hosting scenarios.

You can easily generalize this approach, and in fact some DI Containers have already done this for you (cue: Windsor's WCF Facility).

Mark's answer with the IInstanceProvider is correct.

Instead of using the custom ServiceHostFactory you could also use a custom attribute (say MyInstanceProviderBehaviorAttribute). Derive it from Attribute, make it implement IServiceBehavior and implement the IServiceBehavior.ApplyDispatchBehavior method like

// YourInstanceProvider implements IInstanceProvider
var instanceProvider = new YourInstanceProvider(<yourargs>);

foreach (ChannelDispatcher dispatcher in serviceHostBase.ChannelDispatchers)
{
    foreach (var epDispatcher in dispatcher.Endpoints)
    {
        // this registers your custom IInstanceProvider
        epDispatcher.DispatchRuntime.InstanceProvider = instanceProvider;
    }
}

Then, apply the attribute to your service implementation class

[ServiceBehavior]
[MyInstanceProviderBehavior(<params as you want>)]
public class MyService : IMyContract

The third option: you can also apply a service behavior using the configuration file.

You can simply create and instance of your Service and pass that instance to the ServiceHost object. The only thing you have to do is to add a [ServiceBehaviour] attribute for your service and mark all returned objects with [DataContract] attribute.

Here is a mock up:

namespace Service
{
    [ServiceContract]
    [ServiceBehavior(InstanceContextMode = InstanceContextMode.Single)]
    public class MyService
    {
        private readonly IDependency _dep;

        public MyService(IDependency dep)
        {
            _dep = dep;
        }

        public MyDataObject GetData()
        {
            return _dep.GetData();
        }
    }

    [DataContract]
    public class MyDataObject
    {
        public MyDataObject(string name)
        {
            Name = name;
        }

        public string Name { get; private set; }
    }

    public interface IDependency
    {
        MyDataObject GetData();
    }
}

and the usage:

var dep = new Dependecy();
var myService = new MyService(dep);
var host = new ServiceHost(myService);

host.Open();

I hope this will make life easier for someone.