This following blog post was co-authored by John Bristowe and Cory Fowler.

Important! Check out the Windows Azure Introductory Special. It is the easiest way to get started with Windows Azure. To make it even easier, Barry Gervin and Cory Fowler have created some step by step videos on how to register for Windows Azure using the Introductory Special. If you’re a [Premium, Ultimate, or BizSpark] MSDN Subscriber, you are eligible to participate in a Windows Azure Benefits which includes free consumption of Windows Azure Services.
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Books
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Applied Architecture Patterns on the Microsoft Platform by Richard Seroter, Ewan Fairweather, Rama Ramani, Mike Sexton, and Stephen W. Thomas (Packt)
Azure in Action by Chris Hay and Brian H. Prince (Manning)
Cloud Computing with the Windows Azure Platform by Roger Jennings (Wrox)
Pro SQL Azure by Scott Klein and Herve Roggero (Apress)
Windows Azure Platform by Tejaswi Redkar (Apress)
Windows Azure Projects by Jim Zimmerman, Scott Densmore, David Makogon, Maarten Balliauw, and Scott Ma (Apress)
Windows Azure Platform: Articles from the Trenches Volume 1 by Eric Nelson, Marcus Tillett, Ricahrd Prodger, Saksham Gautam, Rob Blackwell, Julien Hannsens, Simon Munro, Steve Towler, Sarang Kulkarni, Grace Mollison, Jason Nappi, Josh Tuchoiski, David Gristwood, Neil Mackenzie, Steven Nagy
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This article also appears on Canadian Developer Connections.