Nokia’s first Windows Phone goes on sale across the UK and some European countries today.

The Nokia Lumia 800 is now available in black and a number of retailers in the UK opened early on Wednesday morning for potential customers. Oxford Street’s Three store opened at 8AM on Wednesday and by 9AM there were only nine handsets left according to a Nokia UK spokesperson. Nokia handed out free gifts, chocolate and coffee to those in the queue at the Three and Phones4U stores in Oxford Street. Any devices purchased between 8AM and 12PM on the Three network will get a £30 bill credit as part of the launch activities.

Nokia’s marketing for the Lumia 800 in the UK has been massive. The company has taken over websites, newspapers and TV screens in a massive advertising campaign. Nokia appears to be spending Microsoft’s £20 million ($31 million) of funding wisely to promote their new Windows Phone 7.5 devices. Nokia also took over Heathrow airport earlier this month with six giant screens. Nokia announced on Tuesday that it will host a one-off event which will see deadmau5 perform in front of London’s Millbank Tower. Nokia will project 4D images onto the tower and deadmau5 will run through a set of tunes on November 28. The gig will be free for all spectators and Londoners will be able to view the performance from the North and South sides of the River Thames.

London independent agency Inferno Group is behind Nokia’s launch campaign for its Windows Phones. The company is producing materials for Europe whilst Nokia searches for a U.S. marketing team in preparation for a launch in early 2012. Nokia is focused on an “Amazing Everyday” marketing effort. Nokia’s approach brings a cool feel to Windows Phone and will drive a strong awareness amongst smartphone customers this holiday season.

Nokia’s Lumia 800 will be available on a range of contracts and carriers in the UK, starting at £26 per month: