A good friend and colleague of mine has put up a great tutorial that walks you through the process of creating a new "classic" ASP.NET Azure web application and converting it into a cloud-based MVC application.
In addition, he shows you how to point your membership, profile, and role providers at Azure cloud storage instead of the default SQL Express. Great read, check it out here:
http://www.caffeinedi.com/2009/09/29/how-to-build-your-first-azure-powered-asp-net-mvc-app/