The Azure Services developer center has a video series based on “How do I?” questions about writing services using the platform. These videos cover a variety of topics for Windows, .Net, Live, and Data cloud services.
For example, here are the videos in the series on .Net services:
Most of the videos in the series are 10-15 minutes long. You can get the complete catalog of videos for Azure services on their developer center learning page.
Nice how for the most part the "How do I" walk throughs match the SDK samples!