We spent some time in our first few weeks of the project getting Enterprise Library 5 (Beta 2) working on Azure. The first thing we did is took the reference implementation (MusicStore) from the Web Client Developer Guidance and added components of Enterprise Library to it. We also wrote up a short Technical Note on our findings. The good news is that most everything just works. There are some gotchas that have to do with the Azure Platform itself (nothing bad). You can read the paper on our CodePlex site here. We should have the code to post in the next couple of days.