I just read through the article posted by SQL CAT, that covers the topic of how to write efficient SQL Azure Client Applications. The content is focused on proper usage of database connections (and queries) and retries associated with them in order to get the best possible experience while using the on-premise client application (which in plain terms basically means that we make sure the data gets into the cloud, the app is still responsive and working and the user does not have to worry about anything 
).
The nicest part of the article is the fact that there exists a fully documented Framework that was published on Codeplex portal. Here is a quick explanation about the problem the solution/framework tackles:
“… It articulates the need for implementing retry logic in the client code to provide reliable connectivity to the SQL Azure databases. What appears to have been missing in the overall equation until now is a generic, reusable, professional quality implementation for the .NET developers to avoid having to repetitively write their own custom retry mechanisms. To this end, we have created a solution bridging the gap between great guidance provided by the SQL Azure team and much-needed framework for managing client connectivity to the SQL Azure databases.”
A must read/check If you are writing a client application for SQL Azure.