I can recommend the following links as study aids, as well as of course the Windows Azure Training Kit -

Designing Data Storage Architecture

http://msdn.microsoft.com/en-us/library/ee691964.aspx

http://msdn.microsoft.com/en-us/library/ee924681.aspx

http://social.technet.microsoft.com/wiki/contents/articles/1674.data-storage-offerings-on-the-windows-azure-platform.aspx

http://blogs.msdn.com/b/windowsazurestorage/archive/2010/05/10/windows-azure-storage-abstractions-and-their-scalability-targets.aspx

http://blogs.msdn.com/b/windowsazure/archive/2009/11/05/introducing-the-windows-azure-content-delivery-network.aspx

http://sqlblog.com/blogs/john_paul_cook/archive/2010/09/12/sql-azure-differences.aspx

http://blogs.msdn.com/b/sqlazure/archive/2010/11/18/10093245.aspx

http://en.wikipedia.org/wiki/Microsoft_Sync_Framework

http://blogs.msdn.com/b/sync/archive/2010/09/24/how-to-sync-large-sql-server-databases-to-sql-azure.aspx

Optimizing Data Access and Messaging

http://msdn.microsoft.com/en-us/library/dd179353.aspx

http://www.wintellect.com/CS/blogs/pmehner/archive/2010/02/28/idempotency-for-windows-azure-message-queues.aspx

http://social.technet.microsoft.com/wiki/contents/articles/1541.windows-azure-sql-database-connection-management-en-us.aspx

http://channel9.msdn.com/learn/courses/Azure/SQLAzure/SQLAzureTipsAndTricks/Exercise-3-Managing-Connections--Throttling-latency-and-transactions

http://msdn.microsoft.com/en-us/library/dd894038.aspx

http://blogical.se/blogs/jahlen/archive/2010/11/23/sql-azure-why-use-it-and-what-makes-it-different-from-sql-server.aspx

Designing the Application Architecture

http://technet.microsoft.com/en-us/magazine/gg213848.aspx

http://social.msdn.microsoft.com/Forums/en-SG/windowsazuredevelopment/thread/0183e4c1-70a5-4098-9fb9-752da43f970e

http://msdn.microsoft.com/en-us/library/ee336250.aspx

http://www.microsoftpdc.com/2009/SVC08

http://blogs.msdn.com/b/morebits/archive/2010/12/20/walkthrough-windows-azure-service-part1-introduction.aspx

http://blogs.msdn.com/b/jnak/archive/2010/01/22/windows-azure-instances-storage-limits.aspx

Preparing for Application and Service Deployment

http://azure.snagy.name/blog/?tag=configuration

http://channel9.msdn.com/Events/TechEd/NorthAmerica/2011/COS311

http://blogs.msdn.com/b/jnak/archive/2010/01/22/windows-azure-instances-storage-limits.aspx

http://blogs.msdn.com/b/jnak/archive/2009/05/12/https-endpoint-on-windows-azure.aspx

http://msdn.microsoft.com/en-us/library/ff803362.aspx

http://msdn.microsoft.com/en-us/library/ff966484.aspx

http://kindohm.com/blog/2009/11/06/azurelessons/

http://msdn.microsoft.com/en-us/library/gg433135.aspx

http://msdn.microsoft.com/en-us/library/dd582704.aspx

http://social.msdn.microsoft.com/Forums/en-US/windowsazuredata/thread/d804c832-d06e-4171-99dc-8c7020b7ec15

Investigating and Analyzing Applications

http://msdn.microsoft.com/en-us/library/gg433048.aspx

http://msdn.microsoft.com/en-us/library/ee336238.aspx#edmv

http://blogs.msdn.com/b/jnak/archive/2010/06/07/using-intellitrace-to-debug-windows-azure-cloud-services.aspx

Designing Integrated Solutions

http://msdn.microsoft.com/en-us/library/ee794877.aspx

http://msdn.microsoft.com/en-us/library/gg602420.aspx#SB_FAQ

http://zamd.net/2011/02/08/using-simple-web-token-swt-with-wif/

http://channel9.msdn.com/Events/TechEd/Europe/2010/ARC303

http://msdn.microsoft.com/en-us/library/ff359102.aspx

You can also use the following learning plan, however some of the video content is out of date now -
70-583 Learning Plan
I hope this helps.