The SQL Azure team has produced this video on best practices for using the SQL Azure cloud database.
It walks you through the creation of a database and how to build an application that consumes it step-by-step.
It also look at importing and exporting data, and reporting. Time is also spent looking at strategies for migrating your existing applications to the cloud so that you are provided with high availability, fault tolerance and visibility to these often unseen data repositories.
Read more about it here.