Selcin Turkarslan has written an in-depth TechNet wiki article about connection security considerations when using SQL Azure. This article provides information on the security fundamentals and best practices when working with SQL Azure. This article is primarily concerned with writing secure connection strings for SQL Azure Database.
"This article first provides an overview of the security fundamentals when working with SQL Azure Database. Then, the article provides guidelines and best practices on how to write secure connection strings for SQL Azure Database. The intended audience for this article includes developers that are interested in creating applications that run on SQL Azure. This article assumes that the reader is already familiar with the Windows Azure Platform. For more information on how to get started with Windows Azure and SQL Azure, see":