SQL Azure - why use it and what makes it different from SQL Server?
Article by Johan Ahlen.

Comparing SQL Server with SQL Azure
An article by Dinakar Nethi and Niraj Nagrani, a Microsoft TechNet Wiki article.

General Guidelines and Limitations
Lists supported features in SQL Azure and unsupported features that are available in SQL Server.

SQL Azure Feature Limitations
SQL Server features that are not supported by SQL Azure listed by SQL Server versions.

SQL Azure Security Guidelines and Limitations
Incudes information about SQL Azure Firewalls, Encryption and Certificate Validation, Authentication, Logins and Users, and Best Practices.

Using SQL Server Client APIs with SQL Azure Version 1.0
An article about connecting to SQL Azure that also lists unsupported and deprecated functionality from the Microsoft SQLNCli team blog by Steve Hale.