Today I stumbled across a tricky bug in Windows/SQL Azure. I used a password containing a Euro sign (€). It worked in DevFabrik + local SQL Server. It also worked in DevFabrik + SQL Azure. It did not work in Windows Azure + SQL Azure.
I got a SqlException "Login failed for user ...' :-(
It took me a while to come up with the idea to replace the Euro sign with a regular E character. As soon as I have replaced it everything worked like a charm.