Here comes my own favorite (nonexhaustive) list of links and resources which helped me getting my head around Windows Azure Active Directory Developer Preview.

Sign up for a Windows Azure AD Dev Preview Tenant. You'll definitely need this to get yourself started!
http://g.microsoftonline.com/0AX00sv/5

Vittorio Bertocci's MSDN blog. In-depth blog posts, tutorials, announcements, and much more.
All delivered with a personal and unmistakable touch. What Vittorio doesn't know on these subjects is not worth mentioning!
http://blogs.msdn.com/b/vbertocci

The Windows Azure Team Blog. Great Place for interesting blogs, videos, announcements, and more!
http://blogs.msdn.com/b/windowsazure/

Windows Azure AD Graph. All about what you can do with this new cool REST API!
http://msdn.microsoft.com/en-us/library/hh974476.aspx

Windows Azure Authentication Library. Library for client application developers
for authenticating users and aquiring access tokens etc. Downloadable as a Nuget package!
http://msdn.microsoft.com/en-us/library/jj573266

Microsoft Token Validation Extension for Microsoft .Net Framework 4.5. Takes care of the JWT handling.
Easy to use both with and without WIF!
https://nuget.org/packages/System.IdentityModel.Tokens.ValidatingIssuerNameRegistry/4.5.0

SSO how-to guide.
https://www.windowsazure.com/en-us/develop/net/how-to-guides/web-sso/

Integrate! App developer Resources.
https://activedirectory.windowsazure.com/Develop/

Integrating Multi-Tenant Cloud Applications!
Tutorial & sample application.
http://www.windowsazure.com/en-us/develop/net/tutorials/multitenant-apps-for-active-directory/

Developer Code Samples. Just enter windows + azure + active + directory and hit the Search button!
http://code.msdn.microsoft.com/

Fabrikam Expense Tracking Application. An online demo app with links to code on GitHub.
https://aadexpensedemo.cloudapp.net/

Windows Azure AD community forum. Get social with this!
http://social.msdn.microsoft.com/Forums/en-us/WindowsAzureAD/threads