SQL Server 2008 R2 Management Studio Express and SQL Azure
If you want to get started right away using tools like SSMS against SQL Azure, you are in luck. It turns out that the SQL Server 2008 R2 November CTP release includes SSMS Express package for 32 and 64 bit systems. Check out the Tools Only section on the Nov CTP download page.
Once you configure your firewall on your SQL Azure portal site, you can use SSMS Express to connect using SQL Authentication. Check out the blog post Nice things about SSMS on the basics of using SSMS with SQL Azure.
One extra trick is that if you register your SQL Azure instances in a Registered Servers group in SSMS, you can use the feature to run a query across your registered servers. For example, select * from sys.databases would show you the databases across the SQL Azure instances you care about.