i can't believe i'm the first to mention this...
As in "I wank my wang wonderfully, Walter! Why won't you?"
Wang is not used as phallic slang so much these days, though it still maintains noteable usage as such in the online comic strip Penny Arcade and dumb jokes some might make about eastern Asian last names. Wang actually is a last name (see Lord Brawl's earlier writeup) for some people. Wang is the last name of the fictional character Lo Wang (yes, his name is supposed to be a pun), star of 3D Realms' Shadow Warrior computer game.
It's unknown how exaclty wang came to mean penis, though a possibility is that it began with an onomatopoetic phrase for a quick hardening of the penis that doesn't really occur, similar to "Shwing!" from Wayne's World. That is, the sound effect doesn't really occur, not the quick hardening. Perhaps someone slammed their erect penis against some sort of gong, creating a resounding "wang" (and a lot of pain).
Either way (or even another way): "Wang!" is fun to shout. Go on, try it.*
*Try at your own risk. Remember: You break it you buy it.