I also took a peak at Azure. Some interesting extra info about it: they have set it up to allow you to use it as a stand-alone platform. The idea is that the the services Azure provides on MS's server farm are replicated on your desktop, so that you can create a standalone desktop app that could be moved Into The Cloud(tm) later on.
Like, say you were creating an application for your HR person at your 10 person company to manage vacation requests, salary info, emergency contact information, certifications, etc, etc. Then you walk in one day to find that the company's grown to 200 people, and your HR person is crying softly in the corner begging for some help, so you hire a few more HR folks. If the app is Azure based, you can move it off the one desktop that the original HR person was using and onto your own internally hosted stuff (SQL server, SharePoint, and use AD for permissions) or you could push it out onto MS's Azure hosting hardware without having to rewrite the code.
In theory. In reality, I'm guessing that it's a lot more rocky of a transition.
I won't be finding out any time soon. The SDK requires Vista on a 64bit system (not gonna happen), and can't run in 32 bit mode on a 64 bit proc under XP. Ah well. :)