During my Azure talks in Ireland we were discussing issues with migrating SQL to SQL Azure.
At PDC 2010 in Redmond there was a good talk about migrating TFS to Windows Azure and covers the issues they found. It details well the SQL Server to SQL Azure issues and discusses how they solved them. Here is a link to the presentation:
http://player.microsoftpdc.com/Session/be3ad63f-74dc-4283-b70d-817b27226175