When I first posted this question I had strong coupling between my web service and application controller where the controller needed to open multiple threads to the service and as it received back data it had to do a lot of processing on the returned data and merge it into one dataset. I did not like the fact that the client had to so much processing and merge the returned data before it was ready to be used and wanted to move that layer to the service and let the service open the asynchronous threads to the suppliers and merge the results before returning them to the client.
One challenge I had was that I could not wait till all threads were complete and results were merged, I had to start receiving data as it was available. That called me to implement an observer pattern on the service so that it would notify my application when new set of results are merged and ready to be used and send them to the application.
I was looking for how to do this using either on ASMX webservices or WCF and so far I have found implementing it using WCF but this thread is always open for suggestions and improvements.
OK the solution to my problem came from WCF
In addition to classic request-reply operation of ASMX web services, WCF supports additional operation types like; one-way calls, duplex callbacks and streaming.
Not too hard to guess, duplex callback was what I was looking for.
Duplex callbacks simply allow the service to do call backs to the client. A callback contract is defined on the server and client is required to provide the callback endpoint on every call. Then it is up to the service to decide when and how many times to use the callback reference.
Only bidirectiona-capable bindings support callback operations. WCF offers the WSDualHttpBinding to support callbacks over HTTP (Callback support also exists by NetNamedPipeBinding and NetTcpBinding as TCP and IPC protocols support duplex communication)
One very important thing to note here is that duplex callbacks are nonstandard and pure Microsoft feature. This is not creating a problem on my current task at hand as both my web service and application are running on Microsoft ASP.NET
Programming WCF Services gave me a good jump start on WCF. Being over 700 pages it delves deep into all WCF consepts and has a dedicated chapter on the Callback and other type of operations.
Some other good resources I found on the net are;
Windows Communication Foundation (WCF) Screencasts
MSDN Webcast: Windows Communication Foundation Top to Bottom
Web Service Software Factory
The Service Factory for WCF