Well...SQL Azure is PaaS, and Sql Server in VM is IaaS. Just to highlight some differences.
- Control & Features - You got a greater control and features in IaaS where else in PaaS you got to stick with the features they have.
- Redundancy & Backup - By default, SQL Azure comes with 3 copies of redundancy and you can enable geo-replication to nearest datacenter too. Backup is automatically done for 7 days and onwards depending on the pricing tier.
- Cost & Ownership - Basic DB in SQL Azure cost you USD5, however in VM, you can host as many db possible albeit more expensive to rent a single VM.
Check this link out to find out more details