One of my work colleagues, Sergei Mizrokhi, has just conducted some performance analysis comparing different deployment configurations of SQL Server 2014. See his blog post for the details.
He ran tests against the following scenarios:
- SQL Server 2014 running locally on premise
- SQL Server 2014 running in Azure using virtual disk attached storage
- SQL Server 2014 running in Azure using BLOB storage
Here are the results measured in the number of transactions per second (higher transactions is better performance):
As you can see, the local disk performs significantly better in his tests. Using BLOB storage also seems to perform better than disks attached directly to the VM.