Microsoft writes in the Azure Faq:
At commercial launch, Windows Azure will not have specific audit or security certifications. You can expect to see us pursue key certifications, such as the ISO27001, in the near future. The Windows Azure Platform and Windows Azure apply the rigorous security practices incorporated in the Security Development Lifecycle (SDL) process. SDL introduces security and privacy early and throughout the development process. The Windows Azure Platform and Windows Azure also benefit from the security capabilities afforded by the Microsoft Global Foundation Services’ (GFS) infrastructure. The GFS assurances are validated by external auditors on a regular basis and include a comprehensive security program that covers the entire delivery stack.
Microsoft makes no claim regarding PCI standards for 3rd party hosting. There are ways to develop cloud based applications to use 3rd party PCI data processers that may keep the cloud application itself out of scope.
http://www.microsoft.com/windowsazure/faq/default.aspx
choose "Licensing and Service Level Agreements" in the drop down
then find the last paragraph "What industry audit and security certifications cover the Windows Azure Platform? Specifically, call out position on SAS70, ISO 27001, and PCI?"