In regards to connection to Sql Azure, I think they both are the same. I just got the SubSonic ActiveRecord MVC sample up and running on Azure and SqlAzure. The only strange thing I notice is there is a guid instead of a user name for the blog entry author (System.Environment.UserName).
If you want to try out their sample you'll want the SqlAzure membership scripts, which you can get here: http://code.msdn.microsoft.com/KB2006191
Other than the UserName strangeness, all the other database access seems to be what I would expect.
Are you thinking of using the ActiveRecord or SimpleRepository?
EDIT
After changing the t4 ActiveRecord template output the following instead of just the Environment.UserName, the blog sample works the same as is does outside of the cloud:
if (System.Web.HttpContext.Current != null)
{
this.ModifiedBy=System.Web.HttpContext.Current.User.Identity.Name;
}
else
{
this.ModifiedBy = Environment.UserName;
}