The Extreme Computing Group at Microsoft Research Labs now has a web site (in Azure of course) devoted to Windows Azure performance information. This site will present the results of regularly running benchmarks on the Windows Azure platform.
On this site a series of micro-benchmarks measure the basic operations in Azure such as reading and writing to the various data stores the platform provides and sending communications from one node to another. In addition to these, a set of macro-benchmarks are also provided that illustrate performance for common end-to-end application patterns. They provide the source code for each, which you can use as examples for your development efforts.
You can read more about it here.