In short, SQL Azure is simply a Microsoft branding change. SQL Services and SQL Data Services are now known as Microsoft SQL Azure and SQL Azure Database. There are a few changes, but fundamentally Microsoft’s plans to extend SQL server capabilities in cloud as web-based services remain intact. SQL Azure will continue to deliver an integrated set of services for relational databases. The reporting, analytics and data synchronization with end-users and partners also remains unchanged. This makes it most appealing to current users of SQL Server.
SQL Azure is going to be the Next Big Thing from Microsoft. It is just giving SQL Server a new way of doing operations it was doing for long time. Being on cloud, it keeps development relatively simple by keeping the heart of the programming almost the same. Additionally, SQL Azure keeps the goals of SQL Server, i.e. high availability, scalability and security in the core.
Developers can just start developing SQL Azure application locally using SQL Server Express version (http://www.microsoft.com/express/sql/download/), or the CTP version that will be available in August.
Reference : Pinal Dave (http://blog.sqlauthority.com)