[This article was contributed by the SQL Azure team.]
Developers are always interested in how to get the best performance out of applications that connect to SQL Azure. This TechNet wiki article provides a detailed introduction of SQL Azure and its network topology. It goes deeper by explaining some of the reasons for connection-losses or throttling cases and provides guidelines and best coding practices on how to manage the connection life cycle in SQL Azure.
What connection scenarios have you experienced with SQL Azure? Let me know in the comments, as I'd love to discuss them.