Albert Pascual just posted an interesting article on his experience using Windows Azure. A good read.
One thing that stuck out to me was his point about how if you have a reference to an assembly that in turn references other assemblies that are not being pulled in directly to the web role -- those aren't going to be packaged for deployment.
He even mentions a workaround, which is to directly reference those assemblies and set copy local to true.
This is something we're going to have to investigate and see what we can do, it'd be really helpful to know what dependencies will be missing before trying it out on the Azure Services Developer Portal. Stay tuned.