As of right now, very few Android devices support Wi-Fi Direct sharing, which was first implemented as part of Android 4.0. The protocol requires Ice Cream Sandwich, which is still only on 16% of Android devices. Beyond that, the device needs some software to take advantage of the new API. Some devices (like the Galaxy S III) include built-in support, but for others that either haven't included support in the OS—or that do, but don't work very well, like my own E4GT—you'll need some kind of app to take advantage of it.
Although it wasn't announced alongside the plethora of other features during the Ice Cream Sandwich event, Wi-Fi Direct may prove to be one of the more important and revolutionary features of the new OS. In the old days Bluetooth was the standard method of device to device data transfer, but now with Ice Cream Sandwich we are given Wi-Fi Direct and Android Beam. The latter uses NFC to transfer links, media, and other data, while the former is an interesting implementation of the wireless standard which creates ad-hoc networks between compatible devices.