MSDN has a great treasure trove of “How To” articles for Azure. Check it out!
Microsoft is planning a road show of two development focuses boot camps: Windows Azure Boot Camps and Windows 7 Development Boot Camps. The Windows Azure Boot Camps are two day events focusing on getting you hands on experience deploying applications to the cloud. I’ve been a trainer at several of these events and the people I’ve talked to about them afterwards have all said they got a lot of good information from them.
One of the new features released within the last month on Windows Azure was the Remote Desktop capability. This gives you the ability to connect into one of your running instances via the standard Remote Desktop capability that most operations folks would be used to. If you want some quick instruction to get this set up for yourself check out the MSDN docs. If you want to hear about it from Ryan Dunn and Steve Marx, you can watch the recent Channel 9 Cloud Cover episode (the remote desktop feature discussions start at about 27:08 in the video).