for newly created application, i would recommend using UTC timezone. this is not only because the official recommendation on Windows Azure. But also to enable interfacing with other external system to be more standardized.
We can do some magic to change
Azure VM to local time, but not at
SQL Azure.
However, considering you've bunch of current existing data in local time. It would be very troublesome and much effort to convert all of your data to UTC timezone. Then one day if you are about move back to on-premise, how do you deal with those data again?
convert back again, uh....
I've got an idea mentioned
here, it may not be a real solution, but it's at least a workaround to solve the issue.
regards, wely