I’ve just read the SQL Azure vs. SQL Server whitepaper http://www.microsoft.com/downloads/details.aspx?displaylang=en&FamilyID=86f12b41-1eba-4567-9ac8-02eaa7d12034 its only a few pages so one of the lighter documents.
Some interesting and important points which are summarised in the paper e.g. you cannot control where your database files are placed. and also referenced in the Books Online Transact-SQL Support (SQL Azure Database) http://msdn.microsoft.com/en-us/library/ee336250.aspx
The following Transact-SQL features are not supported by SQL Azure:
50GB databases will also be here soon http://blogs.msdn.com/b/sqlazure/archive/2010/04/16/9997517.aspx