One of the questions that I've often been asked is about how you can backup databases in Windows Azure SQL Database.
What we have had access to was the ability to export a database to a BACPAC. A BACPAC is basically just a zip file that contains a bunch of metadata along with a set of bcp files for each of the tables in the database. Each table in the database is exported one after the other, so this does not produce a transactionally-consistent backup at a specific point in time. To get a transactionally-consistent copy, you need a database that isn't in use.
The easiest way to get a database that isn't in use is to use CREATE DATABASE AS COPY OF. This creates a new database as a transactionally-consistent copy of the database that you are copying. You can then use the export options to get a consistent BACPAC created.
Previously, I've had to automate this process by myself. Given there was also no SQL Agent in Azure, I used a job in my on-premises SQL Server to do this, using a linked server configuration.
Now there's a much simpler way. Windows Azure SQL Database now supports an automated export function. On the Configuration tab for the database, you need to enable the Automated Export function. You can configure how often the operation is performed for you, and which storage account will be used for the backups.
It's important to consider the cost impacts of this as well. You are charged for how ever many databases are on your server on a given day. So if you enable a daily backup, you will double your database costs. Do not schedule the backups just before midnight UTC, as that could cause you to have three databases each day instead of one.
This is a much needed addition to the capabilities. Scott Guthrie also posted about some other notable changes today, including a preview of a new premium offering for SQL Database. In addition to the Web and Business editions, there will now be a Premium edition that has reserved (rather than shared) resources. You can read about it all in Scott's post here: http://weblogs.asp.net/scottgu/archive/2013/07/23/windows-azure-july-updates-sql-database-traffic-manager-autoscale-virtual-machines.aspx