Herve Roggero has just published a paper that outlines patterns for scaling using SQL Azure and the Blue Syntax (he and Scott Klein’s company) sharding api. You can find the paper at: http://www.bluesyntax.net/files/EnzoFramework.pdf
Herve and Scott have also just released an Apress book Pro SQL Azure.
The idea of being able to split (shard) database operations automatically and control them from a web based management console is very appealing.
These ideas have been talked about for a long time and implemented in thousands of very custom ways that have been costly, complicated and fragile. Now, there is light at the end of the tunnel. Scaling database access will become easier and move into the mainstream of application development.
The main cost is using an api whenever accessing the database. The api will direct the query to the correct database(s) which may be located locally or in the cloud. It is inevitable that the api will change in the future, perhaps incorporated into a Microsoft offering. Even if this is the case, your application has now been architected to utilize these patterns and details of the actual api will be less important.
Herve does a great job of laying out the concepts which every developer and architect should be familiar with!