Hands-on Lab: Develop your first cloud application and learn all major Windows Azure capabilities
http://blogs.msdn.com/b/swiss_dpe_team/archive/2010/09/24/hands-on-lab-develop-your-first-cloud-application-and-learn-all-major-windows-azure-capabilities.aspx
Based on my azure session at last Swiss TechDays, my colleague Ken has developed a very nice hands-on-lab that explains the main concepts and features of Windows Azure and SQL Azure. If you have 3 hours of time to invest, you will learn a lot about this Platform as a Service offer.