TechNet has a new article which provides an overview of the security features of SQL Azure. It provides a great overview of security considerations for SQL Azure and you should definitely take a look as you start putting your data into SQL Azure.
"SQL Azure has two types of access control: SQL Authentication and a server-side firewall that restricts access by IP address. Along with access control SQL Azure always maintains a secure connection to your database via SQL Server's protocol encryption. Transparent Data Encryption (TDE) is not supported by this release of SQL Azure, you can implement custom encryptions on the application level.
SQL Azure only supports the tabular data stream (TDS) protocol, which is accessible via port 1433 and via the TCP connections."
Read the rest of the article below: