We use SQL Azure. Although we don't connect across the internet to it. Going from on-premise <1 ms network latency to internet 30+ ms latency could be a biggie.
There is no concept of a backup in SQL Azure like on-premise. Recently Azure started offering a mechanism to make scheduled backups (on my list to further investigate). However, if you have a need for a backup to be made before a certain business process is allowed to execute or if you have a need for a user to trigger a backup whenever they would like then that is going to be a eye opener. Right now in SQL Azure you have to make a copy of the database and then make a backup of the copy in order to have a transactionally consistent backup.
Another thing to consider is how disjointed the life cycle could/would become between SQL Azure and the on-premise MSSQL. Right now all things Azure are changing at breakneck speeds and that needs to be considered.