When you create a Windows Azure application, you’ll pick a subscription to put it under. This is a billing container - underneath that, you’ll deploy a Hosted Service. That holds the Web and Worker Roles that you’ll deploy for your applications. Along side that, you use the Storage Account to create storage for the application. (In some cases, you might choose to use only storage or Roles - the info here applies anyway)
As you are setting up your environment, you’re asked to pick a “region” where your application will run.
If you choose a Region, you’ll be asked where to put the Roles. You’re given choices like Asia, North America and so on. This is where the hardware that physically runs your code lives. We have lots of fault domains, power considerations and so on to keep that set of datacenters running, but keep in mind that this is where the application lives.
You also get this selection for Storage Accounts. When you make new storage, it’s a best practice to put it where your computing is. This makes the shortest path from the code to the data, and then back out to the user.
One of the selections for the location is “Anywhere U.S.”. This selection might be interpreted to mean that we will bias towards keeping the data and the code together, but that may not be the case. There is a specific abstraction we created for just that purpose: Affinity Groups.
An Affinity Group is simply a name you can use to tie together resources. You can do this in two places - when you’re creating the Hosted Service (shown above) and on it’s own tree item on the left, called “Affinity Groups”. When you select either of those actions, You’re presented with a dialog box that allows you to specify a name, and then the Region that names ties the resources to. Choose a specific region - not one of the "Anywhere" choices.
Now you can select that Affinity Group just as if it were a Region, and your code and data will stay together. That helps with keeping the performance high.
Official Documentation: http://msdn.microsoft.com/en-us/library/windowsazure/hh531560.aspx