At Mix ‘09, Microsoft announced that Windows Azure will have support for specifying which geographical region you want your Cloud Service to run. If you now go to create a new Hosted Service on the Azure Services Developer Portal, you will be presented with an option to put the service in an Affinity Group and select the region for that Affinity Group. You will then see the Affinity Group listed on the summary page for your Hosted Service Project. When you go to create another project, be it a Hosted Service or Storage Account, you can choose to put that storage account in an existing Affinity Group, this will geographically co-locate your compute and/or storage projects.
More info: MSDN blog