SQL Server Management Studio 2008 R2 added a new property for connections to SQL Azure -- Session Tracing ID, a unique GUID generated for every connection to SQL Azure. On server side, SQL Azure team tracks and logs all connections by ST Id and any errors that arise from that connection. In other words, if you know your session identifier and have an error, Azure Developer Support can look-up error in an attempt to determine what caused it.
In SQL Server Management Studio, you can get your session tracing identifier in properties window for connection. You can also ask for ST ID directly in Transact-SQL using this query. Note STID is per connection to the server, and ADO.NET pools connections on the client side. Which means that some instances of SqlConnection will've same STId, since the connection they represent is recycled from the connection pool. If you've ST ID, along with server name and approximate time when calling Azure Developer Supportyou can expedite debugging process and save yourself valuable time.