Last night (May 18th) I presented some information about SQL Azure and the migration process at SQL Social in Melbourne. Here are some links with more information about many of the topics I outlined.
General Azure SQL information
I'd recommend starting with the official documentation, partly because it's really good, and partly because Azure SQL changes and improves so often that it's often the only content that's completely up to date!
Also, make sure you read the SLA.
As of a few days ago the performance monitoring and tuning features have improved, as outlined in this blog post. There is some more general information about the proactive monitoring that Azure SQL does here.
Incompatibilities with On-Premises SQL
If you're interested in the specific differences in T-SQL between SQL on-premises and Azure SQL, this page provides a lot of detail.
The SQL Azure Migration Wizard is located here - the download links are on the home page.
If you're interested in the geo-replication features, this page describes the feature and this page gives the recent news about the active geo-replication support across all service tiers.
For .NET application developers, here is some guidance about using Azure SQL and handling transient faults safely. This includes links to code patterns and packages to take care of this for many application types.
If you want to write your own transient fault handling logic, this page gives the specific errors that you will see, what they mean, and which ones can (and should) be retried.