It sooooo depends on what you're doing.

SQL Azure is different than SQL Server. However they offer some better backups/replicas in ways. No idea about pricing. I spoke with a few companies a week ago and they chose Azure of EC2 because it worked out cheaper for them, but they also use a bunch of table storage (key-value stuff) in Azure, so their db is small.

EC2 - nice idea, but seems better for startups. Over time, not sure if you save on power/cooling/hardware here, but you'd have to do the math. Zero admin savings here, which is often a big deal.

RDS - no admin stuff, and it's almost the same as SQL Server 2008 R2 in your data center. No windows auth, and pricing can be complex.