SQL Azure allows you to create your database in datacenters in North Central US, South Central US, North Europe, and Southeast Asia. Depending on your location and your network connectivity, you'll get different network latencies between your location and each of data centers.
Here's a quick way to test Network latencyi: create a SQL Azure server in one of data centers via SQL Azure Portal; Open firewall on that server for your IP Address; Create test database on new server; Connect to server/database with SQL Server Management Studio 2008 R2; Using Query Window in SQL SMS, turn on Client Statistics. You can find option on Menu Bar | Query | Include Client Statistics, or on toolbar; Now execute query: SELECT 1 query will make a round trip to data center and fill in client statistics; Execute same query several times to get good average against data center; If you're just using this server for testing, drop your server, choose another data center and repeat the process with a new query window.
Results: first two sections (image above) (Query Profile Statistics and Network Statistics) aren't interesting and should be very similar to image. Third section, Time Statistics, is what we want to study.