Microsoft released version 1.0 of the Windows Azure Software Development Kit. Besides the Development Fabric, the Development Storage and other basics for developing applications on the Windows Azure platform it contains
a) a Diagnostics library to enable logging using standard .NET APIs
b) Certificate Management to support SSL certificates in Windows Azure
c) Persistent local resource storage during role recycle
and more great features. Even the samples have been updated and show new features. Both in C# and VB.NET.
Go for it!
Download the SDK here.