WCF Data Services (formerly known as ADO.NET Data Services) enables you to create data services that are based on representational state transfer (REST) and that are accessible through .NET Framework client applications. By using the Entity Framework Provider, you can create data services for a SQL Azure database. For more information on how to use WCF Data Services, see WCF Data Services documentation.
MSDN has written an article embedded below which explains how to connect to a SQL Azure database using WCF Data Services.
This topic shows how to create a simple data service that is based on a SQL Azure database and a Windows Azure application that accesses the data service. This topic uses the School sample database that is deployed to SQL Azure in How to: Migrate a Database by Using the Generate Scripts Wizard (SQL Azure Database).