As previously posted by my work colleague, Sergei Mizrokhi, there are some significant differences in performance when moving to a Azure VM from a local SQL Server:
As you can see by these tests, Azure VMs using either BLOB storage or virtual desk attached storage have significantly less throughput compared to a local implementation.
Microsoft has just released some new guidance on performance tuning for running SQL Server running in a virtual machine on Azure:
Over the past few months we noticed some of our customers struggling with optimizing performance when running SQL Server in a Microsoft Azure Virtual Machine, specifically around the topic of I/O Performance.
We researched this problem further, did a bunch of testing, and discussed the topic at length among several of us in CSS, the SQL Server Product team, the Azure Customer Advisory Team (CAT), and the Azure Storage team.
You can find the performance checklist here. Microsoft also has a document published called Performance Guidelines for SQL Server in Azure Virtual Machines that you might find helpful.
There is also more general documentation for running SQL Server on Azure here.
