On my way to work, I just listened to a podcast of DeepFriedBytes. Check it our here: http://deepfriedbytes.com/
The podcast shortly touches the easiness of deploying your SQL to SQL Azure. The existence of the X-drive, meant for migrating legacy applications to the Cloud. Minor issue: only one worker process can write to it.
Azure has three types of storage: Table, Queue and Blobs. Table is the SQL part, Queue for the communication between the Web Role process and the Worker Role process and of course the Blobs to store files. There are samples to code against the Storage API.
Also mentioned the security model, used in Azure: Claims Based Authentication. Background to be found on Codeplex.
Just read read it and listen to it !