There is a new release of the Windows Azure training kit, and also an update (and subsequent refresh) of the Azure SDK available.
New training kit
The training kit in my opinion is always the best way to learn the newest features that are available in SDKs. This latest update brings a new hands on lab explaining how to authenticate users from a Windows Phone 7.
Windows Azure SDK 1.4 released
A new version of the Azure SDK is now available. The biggest feature is a new way for developers to push out new development builds to an Azure server, without having to repackage and waiting for it to be spun up on new machines. The feature is called “web deploy” and details can be found in the update link below
There was an issue with the 1.4 release which has been fixed. If you downloaded the SDK before April 25th you will be required to download the new version. If you are installing it for the first time then you are fine