TechNet has an interesting Wiki article on understanding query performance in SQL Azure.
“Understanding query performance in SQL Azure can be accomplished by utilizing SQL Server Management Studio or the SET STATISTICS Transact-SQL commands. Since SQL Server Profiler isn’t currently supported with SQL Azure, this article will discuss some alternatives the provide database administrators insight into exactly what Transact-SQL statements are being submitted to the server, and how the server accesses the database to return result sets. SQL Server Management Studio.”
“Utilizing SQL Server Management Studio you can view the Actual Execution Plan on a query. This gives insight into the indexes that SQL Azure is using to query the data, the number of rows returned at each step, and which steps is taking the longest.”