“Windows Azure is a platform-as-a-service cloud, giving developers the tools they need to build and deploy Web applications, Amazon EC2 is primarily an infrastructure-as-a-service cloud, offering on-demand access to customizable virtual machine instances. ”
quoted from “Microsoft Windows Azure and Amazon EC2 on collision course”
Other resources
Google App Engine GAE vs Amazon Elastic Computing EC2 vs Microsoft Azure
Windows Azure vs Amazon EC2 vs Google App Engine