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Several Windows Azure services help you extend your application security into the cloud.
Three services can help you in providing identity mapping between various providers, connections between an on premises data center, and abilities for applications (where ever they reside) to send messages to each other:
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.)
Windows Azure Toolkit for Windows 8 helps you create Windows 8 Metro Style applications that can harness the power of Windows Azure. The idea is to connect your Windows application to data in the cloud.