I've been working with Windows Azure SQL Database (WASD) on and off for about three years. One common mistake I see with WASD deployments is that users don't think of it is a distinct platform from SQL Server. They tend to view it as if it were any other instance (or version) of SQL Server. This usually comes back to haunt those users later.
When I hear stories about folks that tried to migrate to WASD with a brute-force-single-click and failed, I ask several follow up questions. I have found a common pattern in the answers: lack of strategy.
I've compiled a list of eight strategies that you must consider when moving to WASD. Failure to plan is the same as planning to fail, and this list is going to keep your WASD project moving forward. I've also put this list into some slides posted to Slideshare, you can view them at the bottom of this page as well.