Interesting reading an article on zdnet about Microsoft soon to support persisted Virtual Machines in Azure. This means they are opening up the Azure platform as Infrastructure As A Service (IAAS). This will allow Linux, Sharepoint and full flavour SQL Server.
The VM role has been around for a while but when you heard any Microsoft guys talking about it they really still suggested that you could do everything within the web and worker roles, and VM roles would be for rare edge cases.
Will be interesting to see if they change direction at all and begin to push Azure as much more IAAS as opposed to the current push of Platform As A Service (PAAS).