[This article was contributed by the SQL Azure team.]
One of the reasons that SQL Azure is such a powerful tool is that it's based on the same database engine as SQL Server. For example, you can connect to the Microsoft SQL Azure Database with the sqlcmd command prompt utility that is included with SQL Server. The sqlcmd utility lets you enter Transact-SQL statements, system procedures, and script files at the command prompt. MSDN has written a tutorial on how to do this. Take a look and get a feel for how easy it is to get started using SQL Azure.