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SQL Server Vs Azure SQL

SQL Azure is a subset of SQL server. That means some features present in SQL server won't be present in SQL Azure. 

Here is the list of such features

1. Azure does not support CLR stored procedures (extended stored procedures neither)
2. Azure does not have scheduled tasks.
3. Azure does not support fulltext indexing either.
4. In Azure SQL You can't do cross-database referencing.
5. There is no profiler for SQL azure
6. The database won't automagically increase it's max allowed size
7. And there is no full support for SSMS ( SQL Server Management Studio)

There are many more such differences but this are the most notable ones

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