(Modification : Apr 2024) With the latest WSL version: 2.1.5.0 on Win11 simply having set clipboard+=unnamedplus now seems to be enough for neovim, au moins with the latest Microsoft Store versions of Ubuntu.
(Modification : Oct 2020) For 2-way clipboard on neovim, J'utilise win32yank for several months with no issues. Put win32yank.exe somewhere in your path on Linux (anywhere should be fine), and add the following to your init.vim.
set clipboard+=unnamedplus
let g:clipboard = {
\ 'name': 'win32yank-wsl',
\ 'copy': {
\ '+': 'win32yank.exe -i --crlf',
\ '*': 'win32yank.exe -i --crlf',
\ },
\ 'paste': {
\ '+': 'win32yank.exe -o --lf',
\ '*': 'win32yank.exe -o --lf',
\ },
\ 'cache_enabled': 0,
\ }
(Original answer) If you just want to yank from VIM to Windows, for WSL2 and Ubuntu 20.04, this answer on Reddça a fonctionné perfectly for me with standard VIM and standard WSL2 Ubuntu.
Put the following in your .vimrc (en bas, par exemple):
" WSL yank support
let s:clip = '/mnt/c/Windows/System32/clip.exe' " change this path according to your mount point
if executable(s:clip)
augroup WSLYank
autocmd!
autocmd TextYankPost * if v:event.operator ==# 'y' | call system(s:clip, @0) | endif
augroup END
endif