Windows Azure Database (SQL Azure) Development Tip
When you create something in the cloud, it's real, and you're charged for it. There are free offerings, and you even get free resources with your Microsoft Developer Network (MSDN) subscription, but there are limits within those. Creating a 1 GB database - even with nothing in it - is a 1 GB Database. If you create it, drop it, and create it again 2 minutes later, that's 2 GB of space you've used for the month. Wait - how do I develop in this kind of situation?
With Windows Azure, you can simply install the free Software Development Kit (SDK) and develop your entire application for free - you need never even log in to Windows Azure to code. Once you're done, you simply deploy the app and you start making money from the application as you're paying for it.
Windows Azure Databases (The Artist Formerly Known As SQL Azure) is a bit different. It's not emulated in the SDK - because it doesn't have to be. It's just SQL Server, with some differences in feature set. To develop in this environment, you can use SQL Server, any edition. Be aware of the feature differences, of course, but just develop away - even in the free "Express" or LocalDB flavors - and then right-click in SQL Server Management Studio to script objects. Script the database, but change the "Advanced" selection to the Engine Type of "SQL Azure". Bing.
Although most all T-SQL ports directly, one thing to keep in mind is that you need a Clustered Index on every table. Often the Primary Key (PK) is a good choice for that.