SQL Azure is a Relational Database Management System (RDBMS) in the Cloud. It is built on the SQL Server platform and has full support for using Transact SQL (TSQL) programming language. Unlike your local (On-premise) SQL server, SQL Azure is accessible via the Internet. If you prefer wizards, SQL Azure may cause you some grief because they’re not there. For the most part, SQL Azure is quite functional especially if you just want to house data in a “Highly Available” environment for a competitive price. Still there are quite a few differences between SQL Server and SQL Azure.
Lets take a look at few of these differences right below:
Note: High Availability is obviously available in SQL Server but you have to set it up. In SQL Azure, it is already built in.
Additional Info on SQL Server and SQL Azure: