Quick note on SQL Azure...
While I was performing a demo of SQL Azure at the last SQL Saturday in Tampa, I tried to pull an execution plan to see if that worked. I was happily surprised to find out that you can actually get actual execution plans back. This is really cool considering that there is no current support for server-side traces. At least we can tell whether indexes are actually being used in the cloud.
Just be ready to wait a little - execution plans are 'heavy' on packet transfers - so a far link connection on top of SSL makes displaying execution plans a slow operation. But it's worth the wait!