now I'm looking on Azure and want to migrate on this one. But I'm not sure that don't get a problems on this way. Could you explain what is the difference? And what I defenetly can't do with SQL Azure?
SQL Azure is a subset of SQL server.
That means some features present in SQL server won't be present in SQL Azure.
So it has a lot of unsupported features
http://msdn.microsoft.com/en-us/library/ee336253.aspx
And some other limitations
http://msdn.microsoft.com/en-us/library/ff394115.aspx
Azure does not support CLR stored procedures (extended stored procedures neither)
https://feedback.azure.com/forums/217321-sql-database/suggestions/401015-support-clr-stored-procedures
And stored procedure support in general is questionable
http://blogs.msdn.com/b/sajid/archive/2010/04/22/restrictions-of-stored-procedures-in-sql-azure.aspx
And it does not have scheduled tasks (or procedures)
Scheduled Tasks with Sql Azure?
And it does not support fulltext indexing either
https://feedback.azure.com/forums/217321-sql-database/suggestions/405464-support-full-text-indexing
SQL Azure - Substring Searches?
You can't do cross-database referencing (not anymore, see https://azure.microsoft.com/en-us/blog/querying-remote-databases-in-azure-sql-db/)
http://www.mygreatwindowsazureidea.com/forums/34685-sql-azure-feature-voting/suggestions/402636-cross-database-reference?ref=title
Spatial data support is missing as well (not anymore)
http://www.keepitsimpleandfast.com/2009/12/main-differences-between-sql-azure-and.html
It doesn't support filestream
https://feedback.azure.com/forums/217321-sql-database/suggestions/413287-implement-filestream-for-blobs-into-azure-blob-sto
There is no profiler for SQL azure
https://feedback.azure.com/forums/217321-sql-database/suggestions/431943-profiler-for-sql-azure
The database won't automagically increase it's max allowed size
SQL Azure: What will happen if size of my SQL Azure get 5GB?
And there is no full support for SSMS
http://www.mygreatwindowsazureidea.com/forums/34685-sql-azure-feature-voting/suggestions/476408-full-management-studio-support?ref=title
It doesn't support ASP.NET sessions (not anymore, but you need to mark your session classes with the Serializable attribute)
http://www.mygreatwindowsazureidea.com/forums/34685-sql-azure-feature-voting/suggestions/472024-add-support-for-asp-net-sessions-in-sql-azure?ref=title
Then, there is no way to send emails
sending email from sql azure
This is how you connect to it, using SSMS:
http://www.mssqltips.com/tip.asp?tip=1950
Addendum: And it's not possible to have a database larger than 150 1000 GB
(500 GB per 03. April 2014)
(1000 GB per 19. February 2016)
Overcoming Windows Azure Sql Database 150 gb size limitation
And it's cost model is 'cloudy' at best
http://www.microsoft.com/windowsazure/pricing/
http://searchwindevelopment.techtarget.com/news/1507649/Windows-Azures-hidden-compute-costs
Real World Windows Azure Costing Examples, Anyone?
http://www.brentozar.com/archive/2009/07/sql-azure-pricing-10-for-1gb-100-for-10gb/
Forget that 9.99 value, it's not the truth.
It's only the rent for the data - you also need to rent the rest.
Azure's pricing is complicated
And at least 80$ a month.
http://www.microsoft.com/windowsazure/pricing-calculator/
On a year, that's 960 $ you spend on renting (mimimum, and you won't have too much for this).
Basically, just browse this:
http://www.mygreatwindowsazureidea.com/forums/34685-sql-azure-feature-voting
and this
https://stackoverflow.com/search?page=2&tab=relevance&q=sql%20azure%20unsupported
for a quick reference of the related problems.
Never mind that you store your (or your customers) sensitive data on someone else's server (taxation, patent filings, offers, customer lists, your database schema, etc.).