In the last days of October, Microsoft announced that it is going to release remote desktop access to Azure instances.
That is very nice. However, despite the fact that you will be an admin on the instance and will be able to install and do anything, all changes will be ephemeral.
There is no way to save the modified image, and the next time it is restarted all changes will be gone.
This is worse than Google App Engine, who which gives your applications the illusion of a single hypercomputing instance. You don't have a VM for every role, at least not knowingly. By decoupling the application runtime from running VM instances, Google is ready to use whatever computing platform innovations that will happen. Azure, on the other hand, still gives you the responsibility to manage scalability by yourself.
This is also worse than EC2. In EC2 you have the option to bundle a running instance to a private image, so any modifications you make can be saved for future sessions.
The only good thing about this feature is the ability to debug your application, and I don't underestimate this new capability.