[This article was contributed by the SQL Azure team.]
Here are two great MSDN videos to get you started on SQL Azure:
This session will cover the following topics: Creating, accessing and manipulating tables, views, indexes, roles, procedures, triggers, and functions, inserts, updates, and deletes, constraints, transactions, temp tables, query support. Watch the Video on MSDN.
This session will cover the following topics: Authentication and Authorization to SQL Azure. Watch the Video on MSDN.