Data is the most important asset in most software applications built today. This holds turn for consumer and corporate applications of all types. There are also many options regarding where to store the data and how it will be persisted. Some of these storage options include local, remote, structured, relational, etc. This does not change as you begin to leverage Windows Azure.
In Windows Azure you continue to have the flexibility with data storage just as you do in any other type of applications. Azure Table Storage and SQL Storage are equally good options however it is important to understand each in detail and also the differences as you are designing an application.
Joseph Fultz has put together a good overview of each type of storage along with some factors to consider when determining the best to use in your application. SQL Azure and Windows Azure Table Storage
As you look to build new applications on Azure or extend current applications into the cloud, understanding these storage options and how they are best applied can be critical in successfully leveraging Azure.