Colleagues on my team have put together some great blog posts to help you in your work on Windows Azure.
Accommodating Batch Window in Windows Azure. Greg describes how you can run your application on Azure in batches.
Cost of Architecting Windows Azure provides a link to the Technet article about how you can consider the true operating costs of your application in Windows Azure.
Using WebDeploy with Windows Azure provides a link to an article that describes how you can maintain your Azure application directly from Visual Studio 2010, without having to redeploy every single file.
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Bruce D. Kyle
ISV Architect Evangelist | Microsoft Corporation