The good folks at CCH (a Wolters Kluwer company) have built an interesting service on Windows Azure. The solution we discuss here is a sales tax calculation service which they offer to other accounting firms. This is an existing on-premises product that they are now moving to the cloud.
The existing product was a stateless web service that was designed to live behind the firewall. The service is meant to be called directly via a plug-in in an accounting firms ERP system (for example, Dynamics AX). To move that to the cloud CCH wrapped the web services in Windows Communication Foundation (WCF).
They had been using another third party RAD development tool called CA Plex. The Plex runtime was added to the project and copied out to the cloud. One of the things they quickly learned is that the nature of the cloud app is to be stateless and that required special consideration when moving on-premises apps (for example the Plex tool was caching db connections behind the scenes).
Anther important consideration was security. They were not ready to move to ACS so for the initial release they used X.509 certs, ADFS and message-based security to establish trust relationships with the server.
BTW, the Windows Azure marketing folks have already published a case study on the CCH solution (available here).