This video will describe the diagnostic data available on Microsoft Azure PaaS Virtual Machine, and how to easily gather and preserve this data.
http://blogs.msdn.com/b/kwill/archive/2013/08/09/windows-azure-paas-compute-diagnostics-data.aspx - More detailed information about the diagnostics data, links to the SDP package, and a troubleshooting series showing how to troubleshoot various issues.
https://channel9.msdn.com/Series/DIY-Windows-Azure-Troubleshooting/Dynamically-Enabling-Windows-Azure-Remote-Desktop - More information on dynamically configuring RDP.
https://channel9.msdn.com/Series/DIY-Windows-Azure-Troubleshooting - DIY Microsoft Azure Troubleshooting series.
Quick Video Links
[00:47] Common Diagnostics Sources - Windows Azure Event logs, Application Event logs, WindowsAzureGuestAgent logs (AppAgentRuntime, WaAppAgent), WaHostBootstrapper log files, IIS log files.
[02:21] SDP Package - Quickly and easily gather all of the diagnostics data from a VM into a CAB file.