Below is the official Microsoft doc on limitations. It seems like every which way I turn, I bump up against SOME limitation. Then there's the lack of tooling. R2 FINALLY adds object browser support to SSMS for Azure DBs, but with MANY limitations. Moving db's around between Azure and production/qa servers is very frustrating as well. Although, I came across the SQLAzureMigrationWizard, which is a wonderful (free) tool. I'm trying to talk my company down. SQL Azure feels like a "toy". Personally, I think MS rushed SQL Azure out the door before it was ready. I think SQL Server "as a service" is proving much more difficult than MS thought.
And to Steve's point, my company was wondering why we are getting $1000.00 bills for Azure. Very simple all our developers/testers are using the cloud db as if it was local... jeez. $1000.00 per month buys some pretty nice REAL SQL Server space somewhere!