I can say I have some experience with programming for cloud platform. When Google App Engine recently launched, I made Birdnest with Google App Engine. I had nice experience with GAE so I didn't hesitate to apply for Azure when Microsoft annouced the program. In the end, I've got Windows Azure invitation for some time but I don't have chance to play with it until a month ago.
Firstly, Azure does require Vista. Yes. That vista. The OS I never have any intention to install to my machine. I did it for Azure.
Secondly, Azure comes with some documents. More document = better. That's correct. BUT!!! Not in this case. It uses many chapters to explain Azure component. Worker role. blablabla.... They are too much to understand with my tiny brain. It overwhelms a beginner like me. Truthfully, I closed the document, did something else and didn't touch Azure for some weeks. In contrast, look at Google App Engine document. It is a lot easier to understand. Though it is not complete or doesn't explain too much technical thing. It just works.
Lastly, using Windows Azure means a lot of configuration. Microsoft is sardistic. See it yourself in this simple Table Storage walkthrough. Don't be fool by the article name. It is not simple as you thought especially when you come from App Engine. Though Table Storage service is straightforward, it requires too many steps to implement it. I don't know if I can use LINQ with it. This draws me to conclude that I have to write the whole data layer in order to use it.
By the way, I have downloaded some videos to study how to create Azure app. I hope I can learn something useful and makes this blog obsolete.
