Microsoft Patterns & Practices team maintains a great site on Codeplex that handless all aspects of security on Windows Azure platform. The following scenarios are described in details:

Really an excellent set of resources (also can be used for reference) that describe the patterns for architecting solutions and security on top of Windows Azure, for teaser something like ASP.NET to SQL Azure:

Scenario - Data 2 - ASP to SQL Azure - solution.JPG