Windows Azure looks to be a fine platform, but the toolset installation could be more streamlined. First, Azure Tools for Visual Studio complained about "Error 0x80070643", which was resolved by installing Azure SDK, Libraries and Emulator before. Then, emulator told me that I do not have SQL Server 2008 installed by popping up with a helpful message that there is a "possible security problem, see here", which leaded me to a page that had nothing to do with real cause of the problem.
After that, though, everything went smoothly. Since we're mostly interested in storage side of cloud services, I'll explore Windows Azure storage and probably will write a post or two about it.