SQL Azure does not support everything in SQL Server 2005 or SQL Server 2008 so you have to be careful about migrating SQL Server to SQL Azure.
There is also no manager application currently available from the Azure Team to help you migrate databases or even create databases at the moment. You can't use SQL Server Management Studio fully via the Object Explorer at this time either.
One of the solutions available that is pretty good IMHO is the free SQL Azure Migration Wizard on CodePlex that will attempt to migrate a SQL Server 2005 or SQL Server 2008 database to SQL Azure. You pick the items you want to migrate and the wizard will show any warnings and/or move the database ( schema not data ) to SQL Azure.
I had a really simple database I wanted to copy last night and it did an excellent job. However, this was indeed a simple database just for testing SQL Azure via ASP.NET MVC, etc.
That being said, however, if you are just getting started with SQL Azure, the SQL Azure Migration Wizard is a good and simple place to start for making that first test database.
You can download the SQL Azure Migration Wizard from CodePlex here.
David Hayden
Filed: SQL Server Tutorials, .NET Developer Tools