Great article - Inside Windows Azure SQL Database
Our team still get lots of questions from customers and partners about “SQL Azure” (aka “Windows Azure SQL Database”) and how it differs from the on-premise versions of SQL Server that they are used to managing and configuring. TechNet has an excellent article “Inside Windows Azure SQL Database” that is well worth reading if you are from a SQL Server background, as it takes you through the inner workings of SQL Database and how it relates to the more traditional server product.