The Windows Azure Service Bus Relay enables applications hosted anywhere with an internet connection to securely call back to applications hosted in your own datacenter behind a firewall.  The CRM 2011 SDK offers documentation on how to use the Windows Azure Service Bus Relay from CRM Online.  Here’s a link to the documentation that describes the scenario:

http://dkdt.me/HOzzrr

The video below demonstrates a working example of the end to end scenario and walks you through the configuration.

http://dkdt.me/HOzy6X 

NOTE: The video shows my WCF service running in a console application for simplicity.  Many will want to host their services in IIS.  See IIS hosting of Wcf Services with Servicebus Endpoints for more details.

@devkeydet