[Update 2/10/2010 - These videos moved so I needed to update the links.]
Straight from the halls of Microsoft - a 3 video series on building Windows Azure applications using Visual Studio 2010 Beta 2. The videos showcase the Windows Azure Tools.
The goal was to focus on the developer experiences and to keep the videos relatively short (around 10 minutes each) so that they are easily consumed.
Part 1: Windows Azure: Getting the Tools, Creating a Project, Creating Roles and Configuration (14 minutes, 26 seconds)
Part 2: Running and Debugging a Windows Azure Application Locally with Visual Studio (6 minutes, 11 seconds)
Part 3: Deploying Windows Azure Applications from Visual Studio (6 minutes, 56 seconds)