A new whitepaper on how to connect to Windows Azure hosted applications using Active Directory has been published in December 2010.
The two major building blocks are WIF & ADFS.
I did cover this topic in a series of blog last summer. Now you have a nicely packaged whitepaper explaining it!
Also, Microsoft has published a series of how-to guides on ADFS 2.0.
Federating identity has never been easier!