I wrote a series of lessons learned articles which Daniel Odievich helped me publish over on the TechNet Wiki.  If you’re planning on Azure hosting Silverlight business applications you’ll want to check out these links before you get started:

Secure Silverlight Applications with Claims-Based Authentication in Windows Azure – Lessons Learned – Part 1

Secure Silverlight Applications with Claims-Based Authentication in Windows Azure – Lessons Learned – Part 2