Windows Azure offers three different Cache Offerings.
1. Cache Service Preview
2. In-Role Caching
3. Shared Caching
Cache Service is the newest and is in Preview right now. Considering that Shared Caching is soon to be deprecated (ref), the real choice is between the new Cache Service Preview and the tried and tested In-Role Caching. Both of these are fundamentally different services and have few unique characteristics. To know more about each of these services, please refer to the following.
To help make a better informed decision on which of these offerings to choose from, I am putting together a feature comparison matrix. This matrix should provide you a quick reference to some of salient features of Windows Azure Caching and their availability in various Cache Offerings.
Cache Comparison Matrix
If you want to have any additional features included here for comparison, please let me know.
Hope this help!