I was recently asked to contribute a module on Azure SQL Database to a new course on Azure for IT Professionals. This gave me an excuse to experiment with the new Auditing feature, which is currently in preview. Auditing enables you to record events that occur in your Azure database, such as logins, data access, data updates, and schema changes; and is an important addition to Azure SQL Database that supports security and compliance requirements in many organizations.
Setting up Auditing is pretty straightforward, as you can see in this video.
To learn more about auditing in Azure SQL database, see http://azure.microsoft.com/en-us/documentation/articles/sql-database-auditing-get-started/.