[This article was contributed by the SQL Azure team.]
Selcin Turkarslan has written an in-depth TechNet wiki article about connection security considerations when using SQL Azure. The article is primarily concerned with writing secure connection strings for SQL Azure Database. I’d highly recommend reading it, as it details good procedures and best practices when connecting with SQL Azure.
If you have any questions about connection security within SQL Azure, please leave a comment. We’d like to be able to help you out if you have any questions.