Greg - How long did your query take to execute and to return the data? How many records are you returning?
Remember that *all* traffic is encrypted against SQL Azure, but not with SQL Server (by default). What this means is that you can have significantly more packets going through when making a request against SQL Azure than you would against SQL Server for
large data sets. So the query may be increasingly slower with more data being returned. And of course, as you point out, the more roundtrips you issue, the slower it will be too, for the same reason.
Regarding the statistics, I meant updating your statistics; not turning on statistics before or after a query. Take a look at the link I sent you in my previous post related to the UPDATE STATISTICS command.
Since you are not providing any details (no SQL, no Linq, no performance metrics) there is very little we can do. Nevertheless, if you feel like digging deeper, take a look at this tool; it can provide you side-by-side comparison of SQL Server and SQL Azure
performance metrics. The information returned will not provide any answers, but pointers that might be useful to you:
http://enzosqlbaseline.codeplex.com
Herve Roggero, MVP SQL Azure Co-Author: Pro SQL Azure http://www.herveroggero.com