See Jim O'Neil's post detailing the New, Improved, No-Risk Windows Azure Trial!
Excellent article shows how you can use web services hosted in Windows Azure and have it communicate across various devices, such as Windows Phone, iPhone, and Android. And have that service scale to terabytes in size.
My colleagues Bruno Terkaly and Ricardo Villalobos wrote the article for MSDN magazine Building a Massively Scalable Platform for Consumer Devices on Windows Azure.
So which security threats are mitigated by the Windows Azure environment and which security threats must be mitigated by the developer?
The paper, Security Best Practices for Developing Windows Azure Applications, describes what you should consider as key threats that your an application running on the Windows Azure. And it shows specifically where Azure provides the mitigation and those you need to call APIs and those which you need to handle yourself. (It does not address regulatory compliance issues.)