Windows Azure Virtual Machine (VM) Roles allow you to run a customized instance of Windows Server 2008 R2 in Windows Azure, making it easier to move applications to the cloud.
A VM Role differs from a Web Role and a Worker Role, because with these roles, you focus on creating and running your code in an operating system that is managed by Windows Azure; for the VM role, you provide a preconfigured operating system image. Developers have full control of the operating system image.
Administrators can remote into the virtual machine of all roles to perform maintenance and troubleshooting tasks. Just as with the other roles in Windows Azure, you can perform orchestrated operating system updates by using an “update domains,” and you can allocate virtual machine instances across fault domains.
For more information see the MSDN documentation on the VM Role and this hands-on-Lab in the new Windows Azure Training kit.