Caching increases performance by temporarily storing information from other backend sources, and can reduce the costs associated with database transactions. Similar to the caching services available for ASP.NET web applications, the Windows Azure Caching service provides a distributed, in-memory, application cache service for Windows Azure and SQL Azure applications. You can learn more about the caching services here. I also suggest that you read the January 2012 MSDN article “Windows Azure Caching Strategies”.
To get started with Windows Azure application development, get Windows Azure SDK, Free Trial Account, InfoKit, Windows Phone SDK.