Cloud Services, which you're describing, are comprised of Web / Worker / VM roles, with Web and Worker OS's maintained by Microsoft and VM Role maintained by you (with multiple instances all based off the baseline image you upload). In all three cases, any type of new image creation is like starting fresh: changes made to the OS while running are not permanently persisted. VM Role does not put Windows Azure into IaaS mode, as the fabric is still using a single baseline image to manage role instances. IaaS, with Virtual Machines, is a bit different, with the Virtual Machines constructable in the cloud (vs. VM Role that requires them to be built locally and then uploaded). Further, any change to a Virtual Machine is persistent. When scaling to multiple instances, you'd need to make VHD copies from your master image, and then each instance would be living on its own (e.g. a change to one Virtual Machine will not show up in the other Virtual Machines).
Having said all that: You have access to Cloud Services (web/worker/vm role) only in Windows Azure today; there's no way to run these locally.
Recently we announced the availability of Windows Azure services for Windows Server. You'll see that there is a subset of Windows Azure features runnable on Windows Server:
- Web Sites
- Virtual Machines
- Service Management Portal and API
